Reweighted madogram-type estimator of Pickands dependence function
From MaRDI portal
Publication:6101735
DOI10.1016/j.spl.2023.109790zbMath1524.62225OpenAlexW4320476428MaRDI QIDQ6101735
Publication date: 20 June 2023
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2023.109790
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Nonparametric estimation of multivariate extreme-value copulas
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- New estimators of the Pickands dependence function and a test for extreme-value dependence
- An introduction to copulas.
- Rank-based inference for bivariate extreme-value copulas
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- A comparison of dependence function estimators in multivariate extremes
- Weighted estimation of the dependence function for an extreme-value distribution
- Local robust estimation of the Pickands dependence function
- A horse race between the block maxima method and the peak-over-threshold approach
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- Generalized madogram and pairwise dependence of maxima over two regions of a random field
- Modelling pairwise dependence of maxima in space
- A nonparametric estimation procedure for bivariate extreme value copulas
- Nonparametric inference for max-stable dependence
This page was built for publication: Reweighted madogram-type estimator of Pickands dependence function
