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A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas


  • Suzukawa, Akio


Extreme value copulas are the limiting copulas of component-wise maxima. A bivariate extreme value copulas can be 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-type estimators and Capéraà-Fougères-Genest-type estimators. We propose a new class of estimators, which contains these two types of estimators. Asymptotic properties of the estimators are investigated, and asymptotic efficiencies of them are discussed under Marshall-Olkin copulas.

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  • Suzukawa, Akio, 2010. "A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas," Discussion paper series. A 230, Graduate School of Economics and Business Administration, Hokkaido University.
  • Handle: RePEc:hok:dpaper:230

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    6. Itaya, Jun-ichi & Okamura, Makoto & Yamaguchi, Chikara, 2008. "Are regional asymmetries detrimental to tax coordination in a repeated game setting?," Journal of Public Economics, Elsevier, vol. 92(12), pages 2403-2411, December.
    7. Konrad, Kai A. & Schjelderup, Guttorm, 1999. "Fortress Building in Global Tax Competition," Journal of Urban Economics, Elsevier, vol. 46(1), pages 156-167, July.
    8. Catenaro, Marco & Vidal, Jean-Pierre, 2003. "Implicit tax co-ordination under repeated policy interactions," Working Paper Series 259, European Central Bank.
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    Bivariate exponential distribution; Extreme value distribution; Pickands dependence function;

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