79 citations · 280 across the 39 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…
Of copulas, quantiles, ranks and spectra: An -approach to spectral analysis
Holger Dette, Marc Hallin, Tobias Kley +1
In this paper, we present an alternative method for the spectral analysis of a univariate, strictly stationary time series . We define a "new" spectrum…
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…