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December 2018 Local robust estimation of the Pickands dependence function
Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou
Ann. Statist. 46(6A): 2806-2843 (December 2018). DOI: 10.1214/17-AOS1640

Abstract

We consider the robust estimation of the Pickands dependence function in the random covariate framework. Our estimator is based on local estimation with the minimum density power divergence criterion. We provide the main asymptotic properties, in particular the convergence of the stochastic process, correctly normalized, towards a tight centered Gaussian process. The finite sample performance of our estimator is evaluated with a simulation study involving both uncontaminated and contaminated samples. The method is illustrated on a dataset of air pollution measurements.

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Mikael Escobar-Bach. Yuri Goegebeur. Armelle Guillou. "Local robust estimation of the Pickands dependence function." Ann. Statist. 46 (6A) 2806 - 2843, December 2018. https://doi.org/10.1214/17-AOS1640

Information

Received: 1 June 2016; Revised: 1 May 2017; Published: December 2018
First available in Project Euclid: 7 September 2018

zbMATH: 06968600
MathSciNet: MR3851756
Digital Object Identifier: 10.1214/17-AOS1640

Subjects:
Primary: 62G05, 62G20, 62G32
Secondary: 60F05, 60G70

Rights: Copyright © 2018 Institute of Mathematical Statistics

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Vol.46 • No. 6A • December 2018
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