文章基本信息
- 标题：A New Estimator for the Pickands Dependence Function
- 本地全文：下载
- 作者：Ferreira, Marta
- 期刊名称：Journal of Modern Applied Statistical Methods
- 出版年度：2017
- 卷号：16
- 期号：1
- 页码：20
- 出版社：Wayne State University
- 摘要：The Pickands dependence function characterizes an extreme value copula, a useful tool in the modeling of multivariate extremes. A new estimator is presented along with its convergence properties and performance through simulation.
- 关键词：Extreme value copula; tail dependence; nonparametric estimation.
