On the effect of long-range dependence on extreme value copula estimation with fixed marginals
| dc.contributor.author | Beran, Jan | |
| dc.date.accessioned | 2016-03-21T14:38:48Z | |
| dc.date.available | 2016-03-21T14:38:48Z | |
| dc.date.issued | 2016-10 | |
| dc.description.abstract | 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. | eng |
| dc.description.version | published | eng |
| dc.identifier.doi | 10.1080/03610926.2014.948198 | eng |
| dc.identifier.uri | https://kops.uni-konstanz.de/handle/123456789/33392 | |
| dc.language.iso | eng | eng |
| dc.subject.ddc | 510 | eng |
| dc.title | On the effect of long-range dependence on extreme value copula estimation with fixed marginals | eng |
| dc.type | JOURNAL_ARTICLE | eng |
| dspace.entity.type | Publication | |
| kops.citation.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}
} | |
| kops.citation.iso690 | 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 | deu |
| kops.citation.iso690 | 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 | eng |
| kops.citation.rdf | <rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/33392">
<dc:creator>Beran, Jan</dc:creator>
<dc:contributor>Beran, Jan</dc:contributor>
<bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/33392"/>
<dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-03-21T14:38:48Z</dc:date>
<dc:language>eng</dc:language>
<dcterms:title>On the effect of long-range dependence on extreme value copula estimation with fixed marginals</dcterms:title>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-03-21T14:38:48Z</dcterms:available>
<dcterms:issued>2016-10</dcterms:issued>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
</rdf:Description>
</rdf:RDF> | |
| kops.flag.knbibliography | true | |
| kops.sourcefield | Communications in Statistics - Theory and Methods. 2016, <b>45</b>(19), pp. 5590-5618. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2014.948198 | deu |
| kops.sourcefield.plain | 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 | deu |
| kops.sourcefield.plain | 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 | eng |
| relation.isAuthorOfPublication | f12cc3c7-b6c5-44ca-be88-15c4dae5b621 | |
| relation.isAuthorOfPublication.latestForDiscovery | f12cc3c7-b6c5-44ca-be88-15c4dae5b621 | |
| source.bibliographicInfo.fromPage | 5590 | |
| source.bibliographicInfo.issue | 19 | |
| source.bibliographicInfo.toPage | 5618 | |
| source.bibliographicInfo.volume | 45 | |
| source.identifier.eissn | 1532-415X | eng |
| source.identifier.issn | 0361-0926 | eng |
| source.periodicalTitle | Communications in Statistics - Theory and Methods | eng |