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Distribution and dependence-function estimation for bivariate extreme-value distributions

Hall, Peter; Tajvidi, Nader


Two new methods are suggested for estimating the dependence function of a bivariate extreme-value distribution. One is based on a multiplicative modification of an earlier technique proposed by Pickands, and the other employs spline smoothing under constraints. Both produce estimators that satisfy all the conditions that define a dependence function, including convexity and the restriction that its curve lie within a certain triangular region. The first approach does not require selection of...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Journal article
Source: Bernoulli


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