Einmahl, John; de Haan, L.F.M.; Li, D. - Tilburg University, Center for Economic Research - 2004
Consider n i.i.d. random vectors on R2, with unknown, common distribution function F.Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process.Then we construct a test to check whether the extreme value condition holds by...