This work proposes an estimator with both Peak-Over-Threshold and Block-Maxima flavors, uses it to estimate the Pickands dependence function of bivariate time series, and illustrates how it brings down the asymptotic bias and the overall mean squared error.
翻译:这项工作提出了一个带有峰值过量口味和块式马西马口味的估量器,用它来估计双轨时间序列的Pickands依赖性功能,并展示它如何缩小无症状偏差和整体平均正方差。