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Activity Number: 530
Type: Topic Contributed
Date/Time: Thursday, August 10, 2006 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #306018
Title: Bootstrap Confidence Band for Dependence Functions in Extreme-Value Statistics
Author(s): Yongcheng Qi*+ and Liang Peng
Companies: University of Minnesota, Duluth and Georgia Institute of Technology
Address: Department of Mathematics and Statistics, Duluth, MN, 55812,
Keywords: confidence band ; dependence function ; bootstrap ; extreme value
Abstract:

Bivariate extreme-value theory was used to estimate a rare event (de Haan and Ronde, 1998). This procedure involves estimating a tail dependence function. There are several estimators for the tail dependence function in the literature, but their limiting distributions depend on partial derivatives of the tail dependence function. In this paper, we employ bootstrapping to construct the confidence band for the tail dependence function based on Huang's (1992) estimator. A simulation study is conducted to assess the accuracy of the bootstrap approach.

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