Search Results - subject:"Pickands dependence function"

Robust estimation of the Pickands dependence function under random right censoring

Goegebeur, Yuri; Guillou, Armelle; Qin, Jing - In: Insurance / Mathematics & economics 87 (2019), pp. 101-114

Persistent link: https://www.econbiz.de/10012058926

A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas

Suzukawa, Akio - Graduate School of Economics and Business … - 2010

represented by a convex function called Pickands dependence function. In this paper we consider nonparametric estimation of the … Pickands dependence function. Several estimators have been proposed. They can be classified into two types: Pickands …

Persistent link: https://www.econbiz.de/10008752672

Projection Estimates of Constrained Functional Parameters

Fils-Villetard, A.; Guillou, A.; Segers, J. - Tilburg University, Center for Economic Research - 2005

AMS classifications: 62G05; 62G07; 62G08; 62G20; 62G32;

Persistent link: https://www.econbiz.de/10011091415

Measures of multivariate asymptotic dependence and their relation to spectral expansions

Frick, Melanie - In: Metrika 75 (2012) 6, pp. 819-831

model. They take a specific shape then and are related to the Pickands dependence function and the exponent of variation of …

Persistent link: https://www.econbiz.de/10010896478

Testing for Tail Independence in Extreme Value models

Falk, Michael; Michel, René - In: Annals of the Institute of Statistical Mathematics 58 (2006) 2, pp. 261-290

Persistent link: https://www.econbiz.de/10005395813