On the effect of long-range dependence on extreme value copula estimation with fixed marginals
Author:
Affiliation:
1. Department of Mathematics and Statistics, University of Konstanz, Konstanz, Germany
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2014.948198
Reference47 articles.
1. Arcones, M.A. (1994). Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors. The Annals of Probability, 2242–2274.
2. Statistics of Extremes
3. SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity
4. Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties
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