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Activity Number:
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469
- Topics in Modern Predictive Modeling
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Type:
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Contributed
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Date/Time:
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Thursday, August 6, 2020 : 10:00 AM to 2:00 PM
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Sponsor:
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IMS
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Abstract #313259
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Title:
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Fitting Bivariate Extreme Value Copulas with Polynomial Pickands Functions
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Author(s):
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Berwin Turlach*
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Companies:
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University of Western Australia
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Keywords:
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Pickands function;
dependence function;
copula;
extreme value;
bivariate distributions
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Abstract:
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We discuss how the mixed model and the asymmetric mixed model family of bivariate extreme value copulas can be extended to bivariate extreme value copulas with polynomial Pickands functions of arbitrary degree. An algorithm for fitting extreme value copulas with polynomial Pickands functions to data will be presented and various practical issues that arise when fitting bivariate extreme value copula models will be discussed.
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Authors who are presenting talks have a * after their name.
