POT-flavored estimator of Pickands dependence function

Published 11 Feb 2022 in stat.ME | (2202.05935v1)

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.

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Nan Zou

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