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

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)

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Cites work

• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• 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
• 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
• Estimating the Gumbel-Barnett copula parameter of dependence
• Non-parametric Bayesian inference on bivariate extremes
• 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

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Uses Software

• ismev

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