Abstract
Two new methods are suggested for estimating the dependence function of a bivariate extreme-value distribution. One is based on a multiplicative modification of an earlier technique proposed by Pickands, and the other employs spline smoothing under constraints. Both produce estimators that satisfy all the conditions that define a dependence function, including convexity and the restriction that its curve lie within a certain triangular region. The first approach does not require selection of smoothing parameters; the second does, and for that purpose we suggest explicit tuning methods, one of them based on cross-validation.
Citation
Peter Hall. Nader Tajvidi. "Distribution and dependence-function estimation for bivariate extreme-value distributions." Bernoulli 6 (5) 835 - 844, oct 2000.
Information