61 citations · 259 across the 17 of their papers we have counts for
4 papers · 1 filter
Empirical and sequential empirical copula processes under serial dependence
Axel Bücher, Stanislav Volgushev
The empirical copula process plays a central role for statistical inference on copulas. Recently, Segers (2011) investigated the asymptotic behavior of this process under non-restr…
A test for Archimedeanity in bivariate copula models
Axel Bücher, Holger Dette, Stanislav Volgushev
We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the character…
New estimators of the Pickands dependence function and a test for extreme-value dependence
Axel Bücher, Holger Dette, Stanislav Volgushev
We propose a new class of estimators for Pickands dependence function which is based on the concept of minimum distance estimation. An explicit integral representation of the funct…
Multiplier bootstrap of tail copulas with applications
Axel Bücher, Holger Dette
For the problem of estimating lower tail and upper tail copulas, we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas.…