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Weighted Estimation of the Dependence Function for an Extreme-Value Distribution
Bivariate extreme dependence function jackknife empirical likeli- hood method
2016/1/19
Bivariate extreme-value distributions have been employed in modeling extremes in environmental sciences and risk management. An important issue is to estimate the dependence function such as Pickands ...
Weighted estimation of the dependence function for an extreme-value distribution
bivariate extreme dependence function jackknife empirical likelihood method
2013/4/28
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands ...
New estimators of the Pickands dependence function and a test for extreme-value dependence
Pickands dependence function a test for extreme-value dependence
2011/3/18
We propose a new class of estimators for Pickands dependence function which is based on the concept of minimum distance estimation. An explicit integral representation of the function A^*(t), which mi...
Weak convergence of an empirical monotonic dependence function under dependence
Weak convergence an empirical monotonic dependence function under dependence
2009/9/24
Weak convergence of an empirical monotonic dependence function under dependence。
Modification of Pickands' Dependence Function for the Simulate Ordered Bivariate Extreme Data
Bivariate Extreme Pickand’s Dependence Function Simulation Stochastics Ordering
2010/3/17
We study the characteristics of the Pickands’ dependence function
for bivariate extreme distribution for minima, BEVM, when considering
the stochastics ordering of the two variables. The existing Pi...
ALMOST SURE CONVERGENCE OF THE STABLE TAIL EMPIRICAL DEPENDENCE FUNCTION IN MULTIVARIATE EXTREME STATISTICS
Multivariate extreme value s
2007/12/11
In this paper we prove the almost sure convergence of the stable tail empirical dependence function for multivariate extreme values.