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

Beran, Jan

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

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Datum

2016

Publikationstyp

Zeitschriftenartikel

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Communications in Statistics - Theory and Methods. 2016, 45(19), pp. 5590-5618. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 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

Zitieren

ISO 690

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. 2016, 45(19), pp. 5590-5618. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2014.948198

BibTex

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

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