FITTING EXTREME VALUE COPULAS WITH UNIMODAL CONVEX POLYNOMIAL REGRESSION USING BERNSTEIN POLYNOMIALS
Bernstein polynomials are suitable for performing shape-constrained regressions, in particular, for unimodal convex regression. The Pickands function is convex and unimodal, being a fundamental element in the theory of extreme value copulas. The purpose of this article is to explain in details the u...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2022 |
| País: | Brasil |
| Institución: | Universidade Federal de Lavras (UFLA) |
| Repositorio: | Brazilian Journal of Biometrics |
| Idioma: | inglés |
| OAI Identifier: | oai:biometria.ufla.br:article/548 |
| Acceso en línea: | https://biometria.ufla.br/index.php/BBJ/article/view/548 |
| Access Level: | acceso abierto |
| Palabra clave: | Bernstein polynomials Pickands function extreme value copula Picklands function |
| Sumario: | Bernstein polynomials are suitable for performing shape-constrained regressions, in particular, for unimodal convex regression. The Pickands function is convex and unimodal, being a fundamental element in the theory of extreme value copulas. The purpose of this article is to explain in details the use of Bernstein polynomials in the estimation of Pickands function and to establish a new test of significance for extreme value copulas. |
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