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Activity Number: 469 - Topics in Modern Predictive Modeling
Type: Contributed
Date/Time: Thursday, August 6, 2020 : 10:00 AM to 2:00 PM
Sponsor: IMS
Abstract #313259
Title: Fitting Bivariate Extreme Value Copulas with Polynomial Pickands Functions
Author(s): Berwin Turlach*
Companies: University of Western Australia
Keywords: Pickands function; dependence function; copula; extreme value; bivariate distributions
Abstract:

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.


Authors who are presenting talks have a * after their name.

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