A nonparametric estimation procedure for bivariate extreme value copulas

Nonparametric estimation (62G05) Density estimation (62G07) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

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Cited in

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Construction of bivariate S-distributions with copulas
Distribution and dependence-function estimation for bivariate extreme-value distributions.
Characterizations of bivariate conic, extreme value, and Archimax copulas
Some copula inference procedures adapted to the presence of ties
Robust estimators and tests for bivariate copulas based on likelihood depth
Inference for asymptotically independent samples of extremes
Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach
A comparison of dependence function estimators in multivariate extremes
On estimating extremal dependence structures by parametric spectral measures
Copula-based mixed models for bivariate rainfall data: an empirical study in regression perspective
Weak convergence of the weighted empirical beta copula process
On Pickands coordinates in arbitrary dimensions
Weak convergence of empirical copula processes
On the distribution of Pickands coordinates in bivariate EV and GP models
Estimation of a bivariate extreme value distribution
Nonparametric estimation of the spectral measure of an extreme value distribution.
Weighted estimation of the dependence function for an extreme-value distribution
Bivariate distributions with given extreme value attractor
On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
Local robust estimation of the Pickands dependence function
Non-linear models for extremal dependence
Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks
A horse race between the block maxima method and the peak-over-threshold approach
A comparative tour through the simulation algorithms for max-stable processes
Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
Total positivity of copulas from a Markov kernel perspective
Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool
Inference for Archimax copulas
Method of moments estimators for the extremal index of a stationary time series
A note on nonparametric estimation of bivariate tail dependence
Multivariate extreme value theory -- a tutorial
Dependence properties of multivariate max-stable distributions
Subsampling (weighted smooth) empirical copula processes
Nonparametric estimation of the conditional tail copula
Extremes of scale mixtures of multivariate time series
A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes
Robust estimation of the Pickands dependence function under random right censoring
Nonparametric estimation of the dependence function for a multivariate extreme value distribution
Regular score tests of independence in multivariate extreme values
Clustering of time series via non-parametric tail dependence estimation
Estimating the tail-dependence coefficient: properties and pitfalls
Likelihood estimators for multivariate extremes
Multiple block sizes and overlapping blocks for multivariate time series extremes
Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
Weighted least-squares inference for multivariate copulas based on dependence coefficients
Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis
On the effect of long-range dependence on extreme value copula estimation with fixed marginals
A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
Estimating multivariate extremal dependence: a new proposal
Non-stationary dependence structures for spatial extremes
Stat Trek. An interview with Christian Genest
Non-parametric estimators of multivariate extreme dependence functions
Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
Copulas: A Review and Recent Developments
Bivariate extreme value theory: Models and estimation
Estimating a bivariate tail: a copula based approach
Nonparametric estimation of multivariate extreme-value copulas
Statistical models and methods for dependence in insurance data
Tail-weighted dependence measures with limit being the tail dependence coefficient
Using B-splines for nonparametric inference on bivariate extreme-value copulas
Multivariate extreme value theory and its usefulness in understanding risk
Mass distributions of two-dimensional extreme-value copulas and related results
Estimating the Gumbel-Barnett copula parameter of dependence
Extreme dependence of multivariate catastrophic losses
Robust Fits for Copula Models
Projection estimators of Pickands dependence functions
A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
Bayesian estimation of bivariate Pickands dependence function
Non-parametric estimation of the limit dependence function
Nonparametric estimation of the dependence function in bivariate extreme value distributions
Nonparametric inference for max-stable dependence
Polynomial Pickands functions
A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Reweighted madogram-type estimator of Pickands dependence function
Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data
A modeler's guide to extreme value software
scientific article; zbMATH DE number 7698718 (Why is no real title available?)
Copula modeling from Abe Sklar to the present day
A goodness-of-fit test for bivariate extreme-value copulas
New estimators of the Pickands dependence function and a test for extreme-value dependence
A general construction of multivariate dependence structures with nonmonotone mappings and its applications
On approximating dependence function and its derivatives
Copulae: an overview and recent developments
Directional multivariate extremes in environmental phenomena
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
On the exact region determined by Spearman's and Blest's measure of rank correlation for bivariate extreme-value copulas
A study of one-factor copula models from a tail dependence perspective
Non-stationary max-stable models with an application to heavy rainfall data
Clustered Archimax copulas
Estimation of the spectral measure from convex combinations of regularly varying random vectors
Multivariate extreme models based on underlying skew-t and skew-normal distributions
Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
On the non-parametric estimation of the bivariate extreme-value distributions
Estimation of Pickands dependence function of bivariate extremes under mixing conditions
On quantile based co-risk measures and their estimation
Rank-based inference for bivariate extreme-value copulas
Bivariate statistical analysis of TCP-flow sizes and durations
Bayesian comparison of different rainfall depth-duration-frequency relationships
On the tail dependence in bivariate hydrological frequency analysis

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