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Dergiler / Istatistik Journal of The Turkish Statistical Association / 2022 / Volume: 14 Issue: 2

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

Selim Orhun Susam(MUNZUR UNIVERSITY)
Sayfa
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Yayın Tarihi
2022-12-31
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

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

📌 3 Maddede Bu Makale

🎯
Amaç & Hipotez: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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Temel Bulgular & Veri:We conduct a Monte Carlo simulation study to investigate its performance.
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Sonuç & Katkı:Also, the graphical method is illustrated by a real data example.
🔬Tür:Research Article
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler: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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Bu Makaleye Atıf Yap

Susam, S. O. (2022). A Graphical Tool for Extreme Value Copula Selection Based on the Pickands Dependence Function. Istatistik Journal of The Turkish Statistical Association, Volume: 14 Issue: 2. https://ajindex.com/articles/1636453

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Kaynakça (21)

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