Theory of Probability and Mathematical Statistics
Estimating multivariate extremal dependence: a new proposal
M. Ferreira
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Abstract: 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.
Keywords: Extreme value copula, multivariate Pickands dependence function, nonparametric estimation
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