Polynomial Pickands functions

DOI10.3150/14-BEJ656MaRDI QIDQ5963499zbMATHOpenAlexFDO

Authors Simon Guillotte, François Perron

Publication date 22 February 2016

Published in Bernoulli (Search for Journal in Brave)

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

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)

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.

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Cited in

(7)

• Modelling non-stationarity in asymptotically independent extremes
• Tail dependence of the Gaussian copula revisited
• Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
• Consistency of Bayesian inference for multivariate max-stable distributions
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