A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas

Akio Suzukawa

No 230, Discussion paper series. A from Graduate School of Economics and Business Administration, Hokkaido University

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.

Keywords: Bivariate exponential distribution; Extreme value distribution; Pickands dependence function (search for similar items in EconPapers)
Pages: 19 pages
Date: 2010-11
New Economics Papers: this item is included in nep-ecm
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