Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines

A bivariate extreme-value copula is characterized by its Pickands dependence function, i.e., a convex function defined on the unit interval satisfying boundary conditions. This paper investigates the large-sample behavior of a nonparametric estimator of this function due to Cormier et al. (Extremes...

Descripción completa

Detalles Bibliográficos
Autores principales: Bücher, Axel, Genest, Christian, Lockhart, Richard A., Nešlehová, Johanna G.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9898389/
https://www.ncbi.nlm.nih.gov/pubmed/36751468
http://dx.doi.org/10.1007/s10687-022-00451-9

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9898389/
https://www.ncbi.nlm.nih.gov/pubmed/36751468
http://dx.doi.org/10.1007/s10687-022-00451-9

Ejemplares similares