Mathematics – Statistics Theory
Scientific paper
2007-07-27
Annals of Statistics 2009, Vol. 37, No. 5B, 2990-3022
Mathematics
Statistics Theory
Published in at http://dx.doi.org/10.1214/08-AOS672 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Scientific paper
10.1214/08-AOS672
Consider a continuous random pair $(X,Y)$ whose dependence is characterized by an extreme-value copula with Pickands dependence function $A$. When the marginal distributions of $X$ and $Y$ are known, several consistent estimators of $A$ are available. Most of them are variants of the estimators due to Pickands [Bull. Inst. Internat. Statist. 49 (1981) 859--878] and Cap\'{e}ra\`{a}, Foug\`{e}res and Genest [Biometrika 84 (1997) 567--577]. In this paper, rank-based versions of these estimators are proposed for the more common case where the margins of $X$ and $Y$ are unknown. Results on the limit behavior of a class of weighted bivariate empirical processes are used to show the consistency and asymptotic normality of these rank-based estimators. Their finite- and large-sample performance is then compared to that of their known-margin analogues, as well as with endpoint-corrected versions thereof. Explicit formulas and consistent estimates for their asymptotic variances are also given.
Genest Christian
Segers Johan
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