Bayesian estimation of bivariate Pickands dependence function

DOI10.15672/HUJMS.682730MaRDI QIDQ5876494zbMATH OpenOpenAlexWikidataFDO

Authors Alireza Ahmadabadi, Gholamhossein Gholami, Burcu Hudaverdi

Publication date 1 February 2023

Published in Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15672/hujms.682730

zbMATH Keywords

Bayesian methodbivariate extreme value copulaPickands dependence functionreversible jump MCMC

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Bayesian inference (62F15) Bootstrap, jackknife and other resampling methods (62F40)

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Cites work

• A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
• A nonparametric estimation procedure for bivariate extreme value copulas
• Bayesian computation: a statistical revolution
• Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• scientific article; zbMATH DE number 3983087 (Why is no real title available?)
• Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Rank-based inference for bivariate extreme-value copulas
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• The quickhull algorithm for convex hulls
• Understanding Relationships Using Copulas
• Using B-splines for nonparametric inference on bivariate extreme-value copulas

Cited in

(2)

• scientific article; zbMATH DE number 3930139 (Why is no real title available?)
• Reweighted madogram-type estimator of Pickands dependence function

Describes a project that uses

Uses Software

• Qhull

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