A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
DOI10.1002/cjs.5550360304zbMath1153.62045MaRDI QIDQ5503544
François Perron, Simon Guilotte
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.5550360304
prediction; copula; dependence function; Markov chain Monte Carlo; Metropolis-Hastings algorithm; reversible jump; convex Hermite interpolation
62P12: Applications of statistics to environmental and related topics
62F30: Parametric inference under constraints
62F15: Bayesian inference
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62G32: Statistics of extreme values; tail inference
65C40: Numerical analysis or methods applied to Markov chains
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