Polynomial Pickands functions

DOI10.3150/14-BEJ656zbMath1388.62142arXiv1601.03906OpenAlexW2979786025MaRDI QIDQ5963499

Simon Guillotte, François Perron

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03906

zbMATH Keywords

polynomialsspectral measureBernstein's theoremextreme value copulasLorentz degreePickands dependence function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Approximation by polynomials (41A10)

Related Items (4)

Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Tail dependence of the Gaussian copula revisited ⋮ Unnamed Item ⋮ Mass distributions of two-dimensional extreme-value copulas and related results

Cites Work

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