Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

John H. J. Einmahl, Laurens de Haan, Deyuan Li

Consider $n$ i.i.d. random vectors on ${\mathbb{R}}^2$, with unknown, common distribution function $F$. Under a sharpening of the extreme value condition on $F$, we derive a weighted…