• Bernoulli
  • Volume 6, Number 5 (2000), 835-844.

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

Peter Hall and Nader Tajvidi

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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 smoothing parameters; the second does, and for that purpose we suggest explicit tuning methods, one of them based on cross-validation.

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Bernoulli, Volume 6, Number 5 (2000), 835-844.

First available in Project Euclid: 6 April 2004

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convex hull cross-validation marginal distribution multivariate extreme-value distribution nonparametric curve estimation smoothing parameter spline


Hall, Peter; Tajvidi, Nader. Distribution and dependence-function estimation for bivariate extreme-value distributions. Bernoulli 6 (2000), no. 5, 835--844.

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