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A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas

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  • Suzukawa, Akio

Abstract

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.

Suggested Citation

  • 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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    File URL: http://hdl.handle.net/2115/44280
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    File URL: https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/44280/5/DPA230_new.pdf
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    Keywords

    Bivariate exponential distribution; Extreme value distribution; Pickands dependence function;

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