POT-flavored estimator of Pickands dependence function
Methodology
2022-02-15 v1
Abstract
This work proposes an estimator with both Peak-Over-Threshold and Block-Maxima flavors, uses it to estimate the Pickands dependence function of bivariate time series, and illustrates how it brings down the asymptotic bias and the overall mean squared error.
Cite
@article{arxiv.2202.05935,
title = {POT-flavored estimator of Pickands dependence function},
author = {Nan Zou},
journal= {arXiv preprint arXiv:2202.05935},
year = {2022}
}