John Huston : eine erste Arbeitsbibliographie

Inhalt: Bücher Rezensionen zu Büchern über Huston Analysen und Gesamtdarstellungen Zeitungsartikel Obituarien Bücher von Huston Bücher und Artikel zu einzelnen Filmen (im Alphabet der Filme) Unklassifizierte

Multiplier bootstrap of tail copulas with applications

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. The first method uses a multiplier bootstrap of the empirical tail copula process and requires estimation of the partial derivatives of the tail copula. The second method avoids this estimation problem and uses multipliers in the two-dimensional empirical distribution function and in the estimates of the marginal distributions. For both multiplier bootstrap procedures, we prove consistency. For these investigations, we demonstrate that the common assumption of the existence of continuous partial derivatives in the the literature on tail copula estimation is so restrictive, such that the tail copula corresponding to tail independence is the only tail copula with this property. Moreover, we are able to solve this problem and prove weak convergence of the empirical tail copula process under nonrestrictive smoothness assumptions that are satisfied for many commonly used models. These results are applied in several statistical problems, including minimum distance estimation and goodness-of-fit testing.Comment: Published in at http://dx.doi.org/10.3150/12-BEJ425 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Nonparametric inference on L\'evy measures and copulas

In this paper nonparametric methods to assess the multivariate L\'{e}vy measure are introduced. Starting from high-frequency observations of a L\'{e}vy process $\mathbf{X}$, we construct estimators for its tail integrals and the Pareto-L\'{e}vy copula and prove weak convergence of these estimators in certain function spaces. Given n observations of increments over intervals of length $\Delta_n$, the rate of convergence is $k_n^{-1/2}$ for $k_n=n\Delta_n$ which is natural concerning inference on the L\'{e}vy measure. Besides extensions to nonequidistant sampling schemes analytic properties of the Pareto-L\'{e}vy copula which, to the best of our knowledge, have not been mentioned before in the literature are provided as well. We conclude with a short simulation study on the performance of our estimators and apply them to real data.Comment: Published in at http://dx.doi.org/10.1214/13-AOS1116 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Extreme value copula estimation based on block maxima of a multivariate stationary time series

The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are an independent random sample of an extreme value distribution. In practice however, block sizes are finite, so that the extreme value postulate will only hold approximately. A more accurate asymptotic framework is that of a triangular array of block maxima, the block size depending on the size of the underlying sample in such a way that both the block size and the number of blocks within that sample tend to infinity. The copula of the vector of componentwise maxima in a block is assumed to converge to a limit, which, under mild conditions, is then necessarily an extreme value copula. Under this setting and for absolutely regular stationary sequences, the empirical copula of the sample of vectors of block maxima is shown to be a consistent and asymptotically normal estimator for the limiting extreme value copula. Moreover, the empirical copula serves as a basis for rank-based, nonparametric estimation of the Pickands dependence function of the extreme value copula. The results are illustrated by theoretical examples and a Monte Carlo simulation study.Comment: 34 page

A note on conditional versus joint unconditional weak convergence in bootstrap consistency results

The consistency of a bootstrap or resampling scheme is classically validated by weak convergence of conditional laws. However, when working with stochastic processes in the space of bounded functions and their weak convergence in the Hoffmann-J{\o}rgensen sense, an obstacle occurs: due to possible non-measurability, neither laws nor conditional laws are well-defined. Starting from an equivalent formulation of weak convergence based on the bounded Lipschitz metric, a classical circumvent is to formulate bootstrap consistency in terms of the latter distance between what might be called a \emph{conditional law} of the (non-measurable) bootstrap process and the law of the limiting process. The main contribution of this note is to provide an equivalent formulation of bootstrap consistency in the space of bounded functions which is more intuitive and easy to work with. Essentially, the equivalent formulation consists of (unconditional) weak convergence of the original process jointly with two bootstrap replicates. As a by-product, we provide two equivalent formulations of bootstrap consistency for statistics taking values in separable metric spaces: the first in terms of (unconditional) weak convergence of the statistic jointly with its bootstrap replicates, the second in terms of convergence in probability of the empirical distribution function of the bootstrap replicates. Finally, the asymptotic validity of bootstrap-based confidence intervals and tests is briefly revisited, with particular emphasis on the, in practice unavoidable, Monte Carlo approximation of conditional quantiles.Comment: 21 pages, 1 Figur