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

DOI10.1002/cjs.5550360304zbMath1153.62045MaRDI 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

prediction; copula; dependence function; Markov chain Monte Carlo; Metropolis-Hastings algorithm; reversible jump; convex Hermite interpolation

Mathematics Subject Classification ID

62P12: Applications of statistics to environmental and related topics

62F30: Parametric inference under constraints

62F15: Bayesian inference

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

65C40: Numerical analysis or methods applied to Markov chains

Related Items

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

Uses Software

• ismev

Cites Work

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