Bayesian Inference for the Extremal Dependence

  title={Bayesian Inference for the Extremal Dependence},
  author={G. Marcon and Simone A. Padoan and Antoniano-Villalobos},
  journal={arXiv: Methodology},
A simple approach for modeling multivariate extremes is to consider the vector of component-wise maxima and their max-stable distributions. The extremal dependence can be inferred by estimating the angular measure or, alternatively, the Pickands dependence function. We propose a nonparametric Bayesian model that allows, in the bivariate case, the simultaneous estimation of both functional representations through the use of polynomials in the Bernstein form. The constraints required to provide a… 

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