[Statlist] Talk on statistics

[Cecilia Rey]

We are glad to announce the following talk

Friday, November 21, 2008, 15.15 - 17.00
in LEO C6, Leonhardstrasse 27, 8092 Zurich


"Rank-Based Inference for Bivariate Extreme-Value Copulas"
by Johan Segers, Institut de Statistique - Université catholique de 
Louvain, Belgium

Several nonparametric estimators are available for the Pickands
dependence function of a bivariate extreme-value copula. All of them, 
however,
require knowledge of the univariate margins. In this paper, rank-based
versions of some of these estimators are proposed for the case where the
margins are unknown. Results on the limit behavior of a class of weighted
bivariate empirical processes are used to determine the asymptotic 
distributions
of rank-based versions of the estimator of Pickands [Bull. Inst.
Internat. Statist. 49 (1981) 859–878], some of its variants, and the 
estimator
of Capéraà, Fougères and Genest [Biometrika 84 (1997) 567–577].
At independence, the latter estimator is shown to be asymptotically more
efficient than its competitors. Simulations indicate that this remains valid
in small samples and for other extreme-value copulas. In addition, the use
of ranks is found to improve the performance of all estimators considered,
even when the margins are known.


The abstract kann also be found under the following link: 
http://stat.ethz.ch/talks/research_seminar

-- 
ETH Zürich
Cecilia Rey-Lutz	          rey using stat.math.ethz.ch
Seminar für Statistik
Leonhardstr. 27, LEO D11	  phone: +41 44 632 34 38
CH-8092 Zurich, Switzerland	  fax  : +42 44 6321228