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On the effect of long-range dependence on extreme value copula estimation with fixed marginals

On the effect of long-range dependence on extreme value copula estimation with fixed marginals

Publikationstyp: Zeitschriftenartikel
Publikationsstatus: Published
Autor/innen: Beran, Jan
Erscheinungsjahr: 2016
Erschienen in: Communications in Statistics - Theory and Methods ; 45 (2016), 19. - S. 5590-5618. - ISSN 0361-0926. - eISSN 1532-415X
DOI (zitierfähiger Link): https://dx.doi.org/10.1080/03610926.2014.948198
Zusammenfassung:
We establish the existence of multivariate stationary processes with arbitrary marginal copula distributions and long-range dependence. The effect of long-range dependence on extreme value copula estimation is illustrated in the case of known marginals, by deriving functional limit theorems for a standard nonparametric estimator of the Pickands dependence function and related parametric projection estimators. The asymptotic properties turn out to be very different from the case of iid or short-range dependent observations. Simulated and real data examples illustrate the results.
Fachgebiet (DDC): 510 Mathematik
Universitätsbibliographie: Ja

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BERAN, Jan, 2016. On the effect of long-range dependence on extreme value copula estimation with fixed marginals. In: Communications in Statistics - Theory and Methods. 45(19), pp. 5590-5618. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2014.948198

@article{Beran2016-10effec-33392, title={On the effect of long-range dependence on extreme value copula estimation with fixed marginals}, year={2016}, doi={10.1080/03610926.2014.948198}, number={19}, volume={45}, issn={0361-0926}, journal={Communications in Statistics - Theory and Methods}, pages={5590--5618}, author={Beran, Jan} }

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