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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2022
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| Materias: | |
| 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 |