On estimating extremal dependence structures by parametric spectral measures

  title={On estimating extremal dependence structures by parametric spectral measures},
  author={J. Beran and Georg Mainik},
  journal={Statistical Methodology},
  • J. Beran, Georg Mainik
  • Published 2013
  • Mathematics
  • Statistical Methodology
  • Abstract Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defining parametric families that are simple and, at the same time, cover a large variety of multivariate extremal dependence structures is to build models based on spectral measures. This approach is considered here. Parametric families of spectral measures are defined as convex hulls of suitable basis elements… CONTINUE READING
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