Nonparametric inference for max-stable dependence

DOI10.1214/12-STS376CzbMath1330.86031arXiv1208.3571MaRDI QIDQ5962687

Johan Segers

Publication date: 16 February 2016

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.3571

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Geostatistics (86A32)

Related Items (2)

Reweighted madogram-type estimator of Pickands dependence function ⋮ On generalized max-linear models in max-stable random fields

Uses Software

• copula
• TwoCop
• copula

Cites Work

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• Asymptotic distributions of multivariate rank order statistics
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• Spatial extremes: models for the stationary case
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• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Empirical processes indexed by estimated functions
• Projection estimators of Pickands dependence functions
• Semiparametric estimation in copula models

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