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Non-Parametric Estimation of the Limit Dependence Function of Multivariate Extremes |
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| Authors: | B. Abdous K. Ghoudi A. Khoudraji |
| Affiliation: | (1) Dept. mathe´matiques et informatique, Universite´ du Que´bec a`, Trois-Rivie`res, Trois-Rivie`res, QC, Canada, G9A 5H7;(2) Dept. mathe´matiques, Universite´ Cadi Ayyad, Marrakech, Morocco |
| Abstract: | This paper presents a new estimation procedure for the limit distribution of the maximum of a multivariate random sample. This procedure relies on a new and simple relationship between the copula of the underlying multivariate distribution function and the dependence function of its maximum attractor. The obtained characterization is then used to define a class of kernel-based estimates for the dependence function of the maximum attractor. The consistency and the asymptotic distribution of these estimates are considered. |
| Keywords: | multivariate extremes kernel estimation dependence function Gaussian process regular variation |
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