Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

Javier Rojo Jiménez, Enrique Villa-Diharce and Miguel Flores

Journal of Multivariate Analysis, 2001, vol. 76, issue 2, 159-191

Abstract: The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated. Comparisons of the proposed estimators with other estimators are made in terms of bias and mean squared error. Several real data sets from various applications are used to illustrate the procedures.

Keywords: empirical distribution function; greatest convex minorant; weak convergence; Gaussian process (search for similar items in EconPapers)
Date: 2001
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