Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials

DOI10.1016/J.JSPI.2016.10.004zbMATH Open1359.62191arXiv1405.5228OpenAlexW2338954749WikidataQ116752781 ScholiaQ116752781MaRDI QIDQ73762FDOQ73762

Authors: G. Marcon, S.A. Padoan, P. Naveau, Pietro Muliere, Johan Segers, Giulia Marcon, S. A. Padoan, Pietro Muliere, Philippe Naveau, Johan Segers 

Publication date: April 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: Many applications in risk analysis, especially in environmental sciences, require the estimation of the dependence among multivariate maxima. A way to do this is by inferring the Pickands dependence function of the underlying extreme-value copula. A nonparametric estimator is constructed as the sample equivalent of a multivariate extension of the madogram. Shape constraints on the family of Pickands dependence functions are taken into account by means of a representation in terms of a specific type of Bernstein polynomials. The large-sample theory of the estimator is developed and its finite-sample performance is evaluated with a simulation study. The approach is illustrated by analyzing clusters consisting of seven weather stations that have recorded weekly maxima of hourly rainfall in France from 1993 to 2011.

Full work available at URL: https://arxiv.org/abs/1405.5228

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zbMATH Keywords

Bernstein polynomialsextremal dependenceextreme-value copulaheavy rainfallmultivariate MAX-stable distributionnonparametric estimationPickands dependence function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)

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Cited In (26)

• Non-stationary dependence structures for spatial extremes
• Title not available (Why is that?)
• A comparison of dependence function estimators in multivariate extremes
• A modeler's guide to extreme value software
• Local robust estimation of the Pickands dependence function
• Detecting breaks in the dependence of multivariate extreme-value distributions
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• On approximating dependence function and its derivatives
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• Estimation of multivariate tail quantities
• ExtremalDep
• A semi-parametric stochastic generator for bivariate extreme events
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• Tail density estimation for exploratory data analysis using kernel methods
• Polynomial Pickands functions
• Inference for asymptotically independent samples of extremes
• Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
• Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach
• Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
• Bayesian estimation of bivariate Pickands dependence function
• Multidimensional extremal dependence coefficients
• Consistency of Bayesian inference for multivariate max-stable distributions

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