Using B-splines for nonparametric inference on bivariate extreme-value copulas

DOI10.1007/s10687-014-0199-4zbMath1304.62072OpenAlexW1996718979MaRDI QIDQ482081

Eric Cormier, Christian Genest, Johanna G. Nešlehová

Publication date: 19 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0199-4

zbMATH Keywords

copulaB-splinePickands dependence functionextreme-value

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (13)

On truncation invariant copulas and their estimation ⋮ Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Some copula inference procedures adapted to the presence of ties ⋮ Inference for asymptotically independent samples of extremes ⋮ Reweighted madogram-type estimator of Pickands dependence function ⋮ 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 ⋮ Copula modeling from Abe Sklar to the present day ⋮ A comparison of dependence function estimators in multivariate extremes ⋮ Non-linear models for extremal dependence ⋮ Estimation of Pickands dependence function of bivariate extremes under mixing conditions ⋮ Nonparametric estimation of the conditional tail copula ⋮ Bayesian estimation of bivariate Pickands dependence function

Uses Software

• COBS
• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Statistical models and methods for dependence in insurance data
• Discussion: Statistical models and methods for dependence in insurance data
• Asymptotics of joint maxima for discontinuous random variables
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Quadratic interpolatory splines
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Rank-based inference for bivariate extreme-value copulas
• Nonparametric rank-based tests of bivariate extreme-value dependence
• COBS: qualitatively constrained smoothing via linear programming
• A moment-based test for extreme-value dependence
• Robust smoothing: smoothing parameter selection and applications to fluorescence spectroscopy
• Testing for Bivariate Extreme Dependence Using Kendall's Process
• A Comment on: “Numerical Comparisons of Algorithms for Polynomials and Rational Multivariate Approximations”
• Large-sample tests of extreme-value dependence for multivariate copulas
• The t Copula and Related Copulas
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Quantile smoothing splines
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Structure de dépendance des lois de valeurs extrêmes bivariées
• A fast and efficient implementation of qualitatively constrained quantile smoothing splines
• Projection estimators of Pickands dependence functions
• A Primer on Copulas for Count Data
• Understanding Relationships Using Copulas
• Dependence measures for extreme value analyses

This page was built for publication: Using B-splines for nonparametric inference on bivariate extreme-value copulas