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Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials

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  • Marcon, Giulia
  • Padoan, Simone
  • Naveau, Philippe
  • Muliere, Pietro
  • Segers, Johan

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  • Marcon, Giulia & Padoan, Simone & Naveau, Philippe & Muliere, Pietro & Segers, Johan, 2016. "Multivariate Nonparametric Estimation of the Pickands Dependence Function using Bernstein Polynomials," LIDAM Discussion Papers ISBA 2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2016020
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    References listed on IDEAS

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    1. Wang, J. & Ghosh, S.K., 2012. "Shape restricted nonparametric regression with Bernstein polynomials," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2729-2741.
    2. Philippe Naveau & Armelle Guillou & Daniel Cooley & Jean Diebolt, 2009. "Modelling pairwise dependence of maxima in space," Biometrika, Biometrika Trust, vol. 96(1), pages 1-17.
    3. I‐Shou Chang & Chao A. Hsiung & Yuh‐Jenn Wu & Che‐Chi Yang, 2005. "Bayesian Survival Analysis Using Bernstein Polynomials," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(3), pages 447-466, September.
    4. Deheuvels, Paul, 1991. "On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 429-439, November.
    5. Zhang, Dabao & Wells, Martin T. & Peng, Liang, 2008. "Nonparametric estimation of the dependence function for a multivariate extreme value distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 577-588, April.
    6. Padoan, Simone A., 2011. "Multivariate extreme models based on underlying skew-t and skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 977-991, May.
    7. Sonia Petrone, 1999. "Random Bernstein Polynomials," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(3), pages 373-393, September.
    8. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," LIDAM Reprints ISBA 2011003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Segers, Johan, 2012. "Asymptotics of empirical copula processes under non-restrictive smoothness assumptions," LIDAM Reprints ISBA 2012009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
    11. Gudendorf, Gordon & Segers, Johan, 2012. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Reprints ISBA 2012011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
    13. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 37-47, January.
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    Cited by:

    1. Ferreira, Helena & Ferreira, Marta, 2018. "Multidimensional extremal dependence coefficients," Statistics & Probability Letters, Elsevier, vol. 133(C), pages 1-8.

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