On the effect of long-range dependence on extreme value copula estimation with fixed marginals

Jan Beran

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 19, 5590-5618

Abstract: We establish the existence of multivariate stationary processes with arbitrary marginal copula distributions and long-range dependence. The effect of long-range dependence on extreme value copula estimation is illustrated in the case of known marginals, by deriving functional limit theorems for a standard non parametric estimator of the Pickands dependence function and related parametric projection estimators. The asymptotic properties turn out to be very different from the case of iid or short-range dependent observations. Simulated and real data examples illustrate the results.

Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2014.948198 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:45:y:2016:i:19:p:5590-5618

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2014.948198

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().