A bayesian estimator for the dependence function of a bivariate extreme‐value distribution

DOI10.1002/cjs.5550360304zbMath1153.62045OpenAlexW2069880942MaRDI QIDQ5503544

Simon Guilotte, François Perron

Publication date: 15 January 2009

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5550360304

zbMATH Keywords

predictioncopuladependence functionMarkov chain Monte CarloMetropolis-Hastings algorithmreversible jumpconvex Hermite interpolation

Mathematics Subject Classification ID

Related Items (6)

Testing for Bivariate Extreme Dependence Using Kendall's Process ⋮ Nonparametric estimation of an extreme-value copula in arbitrary dimensions ⋮ A comparison of dependence function estimators in multivariate extremes ⋮ Discussion: Statistical models and methods for dependence in insurance data ⋮ Bayesian nonparametric estimation of a copula ⋮ Bayesian estimation of bivariate Pickands dependence function

Uses Software

• ismev

Cites Work

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• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Intrinsic estimation of the dependence structure for bivariate extremes
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• An introduction to copulas. Properties and applications
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Non-parametric estimators of multivariate extreme dependence functions
• Bivariate extreme value theory: Models and estimation
• Monotone and Convex Spline Interpolation
• Error Analysis for Convex Separable Programs: The Piecewise Linear Approximation and The Bounds on The Optimal Objective Value
• A nonparametric estimation procedure for bivariate extreme value copulas
• On Monotone and Convex Spline Interpolation
• An introduction to statistical modeling of extreme values

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