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Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials

Author

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

Abstract

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Suggested Citation

  • Marcon, Giulia & Padoan, Simone & Naveau, Philippe & Muliere, Pietro & Segers, Johan, 2017. "Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials," LIDAM Reprints ISBA 2017003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2017003
    Note: In : Journal of Statistical Planning and Inference, vol. 183, p. 1-17 (2017)
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    Cited by:

    1. Patrick Kuiper & Ali Hasan & Wenhao Yang & Yuting Ng & Hoda Bidkhori & Jose Blanchet & Vahid Tarokh, 2024. "Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions," Papers 2408.00131, arXiv.org.
    2. Mhalla, Linda & Chavez-Demoulin, Valérie & Naveau, Philippe, 2017. "Non-linear models for extremal dependence," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 49-66.
    3. Zou, Nan, 2023. "Reweighted madogram-type estimator of Pickands dependence function," Statistics & Probability Letters, Elsevier, vol. 195(C).
    4. Guillou, Armelle & Padoan, Simone A. & Rizzelli, Stefano, 2018. "Inference for asymptotically independent samples of extremes," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 114-135.
    5. Boulin, Alexis & Di Bernardino, Elena & Laloë, Thomas & Toulemonde, Gwladys, 2022. "Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    6. Enkelejd Hashorva & Simone A. Padoan & Stefano Rizzelli, 2021. "Multivariate extremes over a random number of observations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 845-880, September.
    7. Kiriliouk, Anna, 2020. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space," Econometrics and Statistics, Elsevier, vol. 16(C), pages 121-135.

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