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

DOI10.1002/CJS.5550360304zbMATH Open1153.62045OpenAlexW2069880942MaRDI QIDQ5503544FDOQ5503544

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

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zbMATH Keywords

copulaMarkov chain Monte CarlopredictionMetropolis-Hastings algorithmreversible jumpdependence functionconvex Hermite interpolation

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) 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) Parametric inference under constraints (62F30)

Cites Work

• An introduction to statistical modeling of extreme values
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• An introduction to copulas. Properties and applications
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Title not available (Why is that?)
• A nonparametric estimation procedure for bivariate extreme value copulas
• Title not available (Why is that?)
• Bivariate extreme value theory: Models and estimation
• Monotone and Convex Spline Interpolation
• Error Analysis for Convex Separable Programs: The Piecewise Linear Approximation and The Bounds on The Optimal Objective Value
• On Monotone and Convex Spline Interpolation
• Non-parametric estimators of multivariate extreme dependence functions
• Intrinsic estimation of the dependence structure for bivariate extremes

Cited In (10)

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

Uses Software

• ismev

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