Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework

Alexis Boulin, Elena Di Bernardino, Thomas Laloë and Gwladys Toulemonde

Journal of Multivariate Analysis, 2022, vol. 192, issue C

Abstract: The modeling of dependence between maxima is an important subject in several applications in risk analysis. To this aim, the extreme value copula function, characterized via the madogram, can be used as a margin-free description of the dependence structure. From a practical point of view, the family of extreme value distributions is very rich and arise naturally as the limiting distribution of properly normalized component-wise maxima. In this paper, we investigate the nonparametric estimation of the madogram where data are completely missing at random. We provide the functional central limit theorem for the considered multivariate madrogram correctly normalized, towards a tight Gaussian process for which the covariance function depends on the probabilities of missing. Explicit formula for the asymptotic variance is also given. Our results are illustrated in a finite sample setting with a simulation study. Our method is also illustrated on a sparse dataset of annual maxima rainfall in Central Eastern Canada.

Keywords: Extreme value copula; Madogram; Missing Completely At Random (MCAR); Nonparametric estimation (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.jmva.2022.105059

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