A nonparametric estimation procedure for bivariate extreme value copulas
二元极值 Copula 的非参数估计方法
A bivariate extreme value distribution with fixed marginals is generated by a one-dimensional map called a dependence function. This paper proposes a new nonparametric estimator of this function. Its asymptotic properties are examined, and its small-sample behaviour is compared to that of other rank-based and likelihood-based procedures. The new estimator is shown to be uniformly, strongly convergent and asymptotically unbiased. Through simulations, it is also seen to…