Publicação
Estimating multivariate extremal dependence: a new proposal
| Resumo: | Multivariate extreme values require the use of extreme-value copulas, as they appear in the limit of componentwise maxima. These can be characterized by the so-called Pickands dependence function. A new multivariate nonparametric estimator will be presented, along with convergence properties. Based on simulations, we will analyze its performance and compare with well-known estimators from the literature. |
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| Autores principais: | Ferreira, Marta Susana |
| Assunto: | Extreme value copula Multivariate pickands dependence function Nonparametric estimation Ciências Naturais::Matemáticas |
| Ano: | 2016 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | Multivariate extreme values require the use of extreme-value copulas, as they appear in the limit of componentwise maxima. These can be characterized by the so-called Pickands dependence function. A new multivariate nonparametric estimator will be presented, along with convergence properties. Based on simulations, we will analyze its performance and compare with well-known estimators from the literature. |
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