Non-linear models for extremal dependence
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Publication:2011517
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Cites work
- A dependence measure for multivariate and spatial extreme values: Properties and inference
- A fast and efficient implementation of qualitatively constrained quantile smoothing splines
- A nonparametric estimation procedure for bivariate extreme value copulas
- A spectral representation for max-stable processes
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- Inequalities for the extremal coefficients of multivariate extreme value distributions
- Modelling multivariate extreme value distributions
- Modelling time series extremes
- Models for stationary max-stable random fields
- Multivariate Archimax copulas
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Non-stationary dependence structures for spatial extremes
- Nonparametric estimation of an extreme-value copula in arbitrary dimensions
- Nonparametric estimation of multivariate extreme-value copulas
- On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
- Practical variable selection for generalized additive models
- Projection estimators of Pickands dependence functions
- Quantile smoothing splines
- Rank-based inference for bivariate extreme-value copulas
- Recent advances and trends in nonparametric statistics. Papers based on the presentations at the international conference on recent advances and trends in nonparametric statistics, Crete, Greece, July 15--19, 2002.
- Semiparametric Regression
- Spectral density ratio models for multivariate extremes
- Statistics of Extremes
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
Cited in
(11)- Time-varying extreme value dependence with application to leading European stock markets
- The tail dependograph
- Exceedance-based nonlinear regression of tail dependence
- Non-stationary dependence structures for spatial extremes
- Regression-type models for extremal dependence
- Strong convergence of multivariate maxima
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Modelling non-stationarity in asymptotically independent extremes
- Space-Time Extremes of Severe U.S. Thunderstorm Environments
- Bayesian smoothing for time-varying extremal dependence
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
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