Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials

Autor: Giulia Marcon, Simone A. Padoan, Johan Segers, Philippe Naveau, Pietro Muliere

Publikováno v: Journal of Statistical Planning and Inference
Journal of Statistical Planning and Inference, Elsevier, 2017, 183, pp.1-17. ⟨10.1016/j.jspi.2016.10.004⟩
Journal of Statistical Planning and Inference, 2017, 183, pp.1-17. ⟨10.1016/j.jspi.2016.10.004⟩

Many applications in risk analysis require the estimation of the dependence among multivariate maxima, especially in environmental sciences. Such dependence can be described by the Pickands dependence function of the underlying extreme-value copula.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f51cb5455ae61e6232be897530676d4
https://hal.archives-ouvertes.fr/hal-03226744