Abstract
The Pickands dependence function characterizes an extreme value copula, a useful tool in the modeling of multivariate extremes. A new estimator is presented along with its convergence properties and performance through simulation.
DOI
10.22237/jmasm/1493597940
Recommended Citation
Ferreira, M. (2017). A new estimator for the Pickands dependence function. Journal of Modern Applied Statistical Methods, 16(1), 350-363. doi: 10.22237/jmasm/1493597940
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
