Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials

DOI10.1016/j.jspi.2016.10.004zbMath1359.62191arXiv1405.5228OpenAlexW2338954749WikidataQ116752781 ScholiaQ116752781MaRDI QIDQ73762

S.A. Padoan, P. Naveau, G. Marcon, Johan Segers, Pietro Muliere, Pietro Muliere, Simone A. Padoan, Giulia Marcon, Philippe Naveau, Johan Segers

Publication date: April 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.5228

zbMATH Keywords

Bernstein polynomialsnonparametric estimationPickands dependence functionextremal dependenceextreme-value copulaheavy rainfallmultivariate MAX-stable distribution

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05)

Related Items (20)

Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ Non-stationary dependence structures for spatial extremes ⋮ Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Inference for asymptotically independent samples of extremes ⋮ Reweighted madogram-type estimator of Pickands dependence function ⋮ Estimation of multivariate tail quantities ⋮ Strong convergence of multivariate maxima ⋮ A modeler's guide to extreme value software ⋮ Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach ⋮ Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines ⋮ A comparison of dependence function estimators in multivariate extremes ⋮ Tail density estimation for exploratory data analysis using kernel methods ⋮ Unnamed Item ⋮ A general approach to generate random variates for multivariate copulae ⋮ Multidimensional extremal dependence coefficients ⋮ Non-linear models for extremal dependence ⋮ ExtremalDep ⋮ Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework ⋮ Estimation of Pickands dependence function of bivariate extremes under mixing conditions ⋮ Bayesian estimation of bivariate Pickands dependence function

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