Non-Parametric Inference for Bivariate Extreme-Value Copulas
CentER Discussion Paper No. 2004-91
25 Pages Posted: 10 Nov 2004
Date Written: September 2004
Abstract
Extreme-value copulas arise as the possible limits of copulas of component-wise maxima of independent, identically distributed samples. The use of bivariate extreme-value copulas is greatly facilitated by their representation in terms of Pickands dependence functions. The two main families of estimators of this dependence function are (variants of) the Pickands estimator and the Caperaa-Fougeres-Genest estimator. In this paper, a unified treatment is given of these two families of estimators, and within these classes those estimators with the minimal asymptotic variance are determined. Main result is the explicit construction of an adaptive, minimum-variance estimator within a class of estimators that encompasses the Caperaa-Fougeres-Genest estimator.
Keywords: Estimator, nonparametric inference
JEL Classification: C13, C14
Suggested Citation: Suggested Citation