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Moments-type Estimation of Bivariate Extreme Value Copulas Based on Link Functions
HUANG Chao 1,LIN Jin-guan 2 *
1.Department of Mathematics, Southeast University, Nanjing 210096
2. Department of Mathematics, Southeast University, Nanjing 210096
*Correspondence author
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Funding: National Natural ScienceFoundation of China （No.11171065）, National Natural ScienceFoundation of China （No.11201229）, The research issupported by The Research Fund for the Doctoral Program of Higher Education of China（No.20120092110021）, Natural ScienceFoundation of Jiangsu Province （No.BK2011058）, Youth Foundation forHumanities and Social Sciences Project from Ministry of Education of China （No.11YJC790311）
Opened online:10 May 2013
Accepted by: none
Citation: HUANG Chao,LIN Jin-guan.Moments-type Estimation of Bivariate Extreme Value Copulas Based on Link Functions[OL]. [10 May 2013] http://en.paper.edu.cn/en_releasepaper/content/4541243
 
 
This paper considers the moments-type estimation of bivariate extreme value copulas. Usually the inference on an extreme value copulaproceeds via its Pickands dependence function. In this paper a new estimation method for the Pickands dependence function is proposed based on link functions, which can be treated as an extension of the existing nonparametric estimates. The finite sample performance is investigated by simulation studies, and the maximum weekend car speed data registered at two given locationsis analyzed via parametric method and our proposed method.
Keywords:Bivariate extreme value copula; Pickands dependence function; Link function; Ordinary least squares.
 
 
 

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