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

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