Bayesian estimation of bivariate Pickands dependence function

DOI10.15672/HUJMS.682730OpenAlexW4288678314WikidataQ113740102 ScholiaQ113740102MaRDI QIDQ5876494FDOQ5876494

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

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zbMATH Keywords

Pickands dependence functionBayesian methodreversible jump MCMCbivariate extreme value copula

Mathematics Subject Classification ID

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

Cites Work

• Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• 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
• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Rank-based inference for bivariate extreme-value copulas
• Understanding Relationships Using Copulas
• The quickhull algorithm for convex hulls
• Title not available (Why is that?)
• A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
• Using B-splines for nonparametric inference on bivariate extreme-value copulas
• Bayesian computation: a statistical revolution
• Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach

Cited In (2)

• Reweighted madogram-type estimator of Pickands dependence function
• Title not available (Why is that?)

Uses Software

• Qhull

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