Polynomial Pickands functions

DOI10.3150/14-BEJ656zbMATH Open1388.62142arXiv1601.03906OpenAlexW2979786025MaRDI QIDQ5963499FDOQ5963499

Simon Guillotte, François Perron

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Pickands dependence functions characterize bivariate extreme value copulas. In this paper, we study the class of polynomial Pickands functions. We provide a solution for the characterization of such polynomials of degree at most $m+2$, $mgeq0$, and show that these can be parameterized by a vector in $mathbb{R}^{m+1}$ belonging to the intersection of two ellipsoids. We also study the class of Bernstein approximations of order $m+2$ of Pickands functions which are shown to be (polynomial) Pickands functions and parameterized by a vector in $mathbb{R}^{m+1}$ belonging to a polytope. We give necessary and sufficient conditions for which a polynomial Pickands function is in fact a Bernstein approximation of some Pickands function. Approximation results of Pickands dependence functions by polynomials are given. Finally, inferential methodology is discussed and comparisons based on simulated data are provided.

Full work available at URL: https://arxiv.org/abs/1601.03906

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zbMATH Keywords

Pickands dependence functionspectral measurepolynomialsBernstein's theoremLorentz degreeextreme value copulas

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximation by polynomials (41A10)

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Cited In (6)

• Title not available (Why is that?)
• Modelling non-stationarity in asymptotically independent extremes
• Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
• Tail dependence of the Gaussian copula revisited
• Mass distributions of two-dimensional extreme-value copulas and related results
• Consistency of Bayesian inference for multivariate max-stable distributions

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