A bayesian estimator for the dependence function of a bivariate extreme‐value distribution

DOI10.1002/CJS.5550360304MaRDI QIDQ5503544zbMATH OpenOpenAlexFDO

Authors Simon Guilotte, François Perron

Publication date 15 January 2009

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.5550360304

zbMATH Keywords

convex Hermite interpolationcopuladependence functionMarkov chain Monte CarloMetropolis-Hastings algorithmpredictionreversible jump

Mathematics Subject Classification ID

Bayesian inference (62F15) Parametric inference under constraints (62F30) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to environmental and related topics (62P12) Numerical analysis or methods applied to Markov chains (65C40)

Recommendations

• Nonparametric estimation of the dependence function in bivariate extreme value distributions
• Estimation of a bivariate extreme value distribution
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• A nonparametric estimation procedure for bivariate extreme value copulas
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution

Cites work

• A nonparametric estimation procedure for bivariate extreme value copulas
• An introduction to copulas. Properties and applications
• An introduction to statistical modeling of extreme values
• Bivariate extreme value theory: Models and estimation
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• Error Analysis for Convex Separable Programs: The Piecewise Linear Approximation and The Bounds on The Optimal Objective Value
• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• Intrinsic estimation of the dependence structure for bivariate extremes
• Monotone and Convex Spline Interpolation
• Non-parametric estimators of multivariate extreme dependence functions
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• On Monotone and Convex Spline Interpolation
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

Cited in

(11)

• A comparison of dependence function estimators in multivariate extremes
• Statistical Bayesian estimators of some functionals in the case of a bivariate exponential distribution
• Testing for bivariate extreme dependence using Kendall's process
• Bayesian estimation of a bivariate copula using the Jeffreys prior
• Discussion: Statistical models and methods for dependence in insurance data
• Non-parametric Bayesian inference on bivariate extremes
• A Euclidean Likelihood Estimator for Bivariate Tail Dependence
• Estimating the Gumbel-Barnett copula parameter of dependence
• Bayesian nonparametric estimation of a copula
• Bayesian estimation of bivariate Pickands dependence function
• Nonparametric estimation of an extreme-value copula in arbitrary dimensions

Describes a project that uses

Uses Software

• ismev

This page was built for publication: A bayesian estimator for the dependence function of a bivariate extreme‐value distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5503544)