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Journals / Türkiye İstatistik Derneği İstatistik Dergisi / 2022 / Volume: 14 Issue: 2

A Graphical Tool for Extreme Value Copula Selection Based on the Pickands Dependence Function

Selim Orhun Susam(MUNZUR UNIVERSITY)
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Publication Date
2022-12-31
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Also, the graphical method is illustrated by a real data example.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:We present a graphical tool that was primarily proposed by Michiels et al. [18] and later modified by Durante et al. [4].
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Key Findings & Data:We conduct a Monte Carlo simulation study to investigate its performance.
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Conclusion & Impact:Also, the graphical method is illustrated by a real data example.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Copula · Pickands function · Extreme value copula

Abstract

We present a graphical tool that was primarily proposed by Michiels et al. [18] and later modified by Durante et al. [4]. We also improve this method to select the better fit of the given data among some extreme value copulas based on the Pickands dependence function. We conduct a Monte Carlo simulation study to investigate its performance. Also, the graphical method is illustrated by a real data example.

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Cite This Article

Susam, S. O. (2022). A Graphical Tool for Extreme Value Copula Selection Based on the Pickands Dependence Function. Türkiye İstatistik Derneği İstatistik Dergisi, Volume: 14 Issue: 2. https://ajindex.com/articles/1562007

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