Reweighted madogram-type estimator of Pickands dependence function

Nan Zou

doi:10.1016/j.spl.2023.109790

Reweighted madogram-type estimator of Pickands dependence function

Nan Zou

School of Mathematical and Physical Sciences

Research output: Contribution to journal › Article › peer-review

Abstract

This work proposes a reweighted, madogram-type estimator for the Pickands dependence function of bivariate time series and illustrates how it brings down the asymptotic bias and the overall mean squared error.

Original language	English
Article number	109790
Pages (from-to)	1-7
Number of pages	7
Journal	Statistics and Probability Letters
Volume	195
DOIs	https://doi.org/10.1016/j.spl.2023.109790
Publication status	Published - Apr 2023

Keywords

Block maxima
Extreme value copula
Madogram
Pickands dependence function

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10.1016/j.spl.2023.109790

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title = "Reweighted madogram-type estimator of Pickands dependence function",

abstract = "This work proposes a reweighted, madogram-type estimator for the Pickands dependence function of bivariate time series and illustrates how it brings down the asymptotic bias and the overall mean squared error.",

keywords = "Block maxima, Extreme value copula, Madogram, Pickands dependence function",

author = "Nan Zou",

year = "2023",

month = apr,

doi = "10.1016/j.spl.2023.109790",

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AB - This work proposes a reweighted, madogram-type estimator for the Pickands dependence function of bivariate time series and illustrates how it brings down the asymptotic bias and the overall mean squared error.

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KW - Extreme value copula

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KW - Pickands dependence function

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DO - 10.1016/j.spl.2023.109790

M3 - Article

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JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

M1 - 109790

ER -

Reweighted madogram-type estimator of Pickands dependence function

Abstract

Keywords

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