Segers, J.J.J. - Tilburg University, Center for Economic Research - 2004
dependence functions.The two main families of estimators of this dependence function are (variants of) the Pickands estimator and … the Caperaa-Fougeres-Genest estimator.In this paper, a unified treatment is given of these two families of estimators, and … construction of an adaptive, minimum-variance estimator within a class of estimators that encompasses the Caperaa …