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Estimation of Pickands dependence function of bivariate extremes under mixing conditions

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Abstract

In this paper, we study some asymptotic properties of CFG estimator of the Pickands dependence function of strictly stationary absolutely regular sequences of bivariate extremes. We then propose an asymptotic test of independence of the vector margins. Finite sample properties of the estimate are investigated by simulation.

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Authors and Affiliations

  1. Université d’Aix-Marseille, Institut de Mathématiques de Marseille, Marseille, France

    Mohamed Boutahar, Imen Kchaou & Laurence Reboul

  2. Université de Sfax, Sfax, Tunisie

    Imen Kchaou

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  1. Mohamed Boutahar
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  2. Imen Kchaou
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  3. Laurence Reboul
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Correspondence to Mohamed Boutahar.

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Boutahar, M., Kchaou, I. & Reboul, L. Estimation of Pickands dependence function of bivariate extremes under mixing conditions. Lith Math J 60, 129–146 (2020). https://doi.org/10.1007/s10986-020-09472-y

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  • DOI: https://doi.org/10.1007/s10986-020-09472-y

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