Projection estimators of Pickands dependence functions

DOI10.1002/cjs.5550360303zbMath1153.62044OpenAlexW2087535006MaRDI QIDQ5503542

Amélie Fils-Villetard, Johan Segers, Armelle Guillou

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.5550360303

zbMATH Keywords

Hilbert spaceprojectiontangent conePickands dependence functionshape constraintextreme-value copulastable tail dependence function

Mathematics Subject Classification ID

Related Items (26)

Rank-based inference for bivariate extreme-value copulas ⋮ Nonparametric estimation of an extreme-value copula in arbitrary dimensions ⋮ Bias correction in conditional multivariate extremes ⋮ Robust estimation of the Pickands dependence function under random right censoring ⋮ Estimating multivariate extremal dependence: a new proposal ⋮ 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 ⋮ Nonparametric estimation of multivariate extreme-value copulas ⋮ Testing tail monotonicity by constrained copula estimation ⋮ New estimators of the Pickands dependence function and a test for extreme-value dependence ⋮ On estimating extremal dependence structures by parametric spectral measures ⋮ Using B-splines for nonparametric inference on bivariate extreme-value copulas ⋮ Extreme value copula estimation based on block maxima of a multivariate stationary time series ⋮ Cluster based inference for extremes of time series ⋮ Local robust estimation of the Pickands dependence function ⋮ Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials ⋮ Non-linear models for extremal dependence ⋮ Nonparametric inference for max-stable dependence ⋮ Polynomial Pickands functions ⋮ On the effect of long-range dependence on extreme value copula estimation with fixed marginals ⋮ On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence ⋮ Estimation of Pickands dependence function of bivariate extremes under mixing conditions ⋮ Positive quadrant dependence testing and constrained copula estimation ⋮ Bias correction in multivariate extremes ⋮ Nonparametric estimation of the conditional tail copula

Uses Software

• quadprog

Cites Work

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• A general projection framework for constrained smoothing.
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• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Statistics of Multivariate Extremes
• Bivariate Exponential Distributions
• Non-parametric estimators of multivariate extreme dependence functions
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Limit theory for multivariate sample extremes
• Asymptotic Statistics
• A nonparametric estimation procedure for bivariate extreme value copulas
• Statistics of Extremes
• Understanding Relationships Using Copulas
• Non-parametric estimation of the limit dependence function

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