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http://repositorio.ufla.br/jspui/handle/1/55348| Title: | Fitting extreme value copulas with unimodal convex polynomial regression using Bernstein polynomials |
| Keywords: | Bernstein polynomials Pickands function Extreme value copula Polinômios de Bernstein Função de Pickands Cópulas de valor extremo |
| Issue Date: | 2022 |
| Publisher: | Universidade Federal de Lavras |
| Citation: | PRADO, D. G. de O. et al. Fitting extreme value copulas with unimodal convex polynomial regression using Bernstein polynomials. Revista Brasileira de Biometria, Lavras, v. 40, n. 2, p. 152-165, 2022. DOI: 10.28951/bjb.v40i2.548. |
| Abstract: | Bernstein polynomials are suitable for performing shape-constrained regressions, in particular, for unimodal convex regression. The Pickands function is convex and unimodal, being a fundamental element in the theory of extreme value copulas. The purpose of this article is to explain in details the use of Bernstein polynomials in the estimation of Pickands function and to establish a new test of significance for extreme value copulas. |
| URI: | http://repositorio.ufla.br/jspui/handle/1/55348 |
| Appears in Collections: | DEX - Artigos publicados em periódicos |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ARTIGO_Fitting extreme value copulas with unimodal convex polynomial regression using Bernstein polynomials.pdf | 537,7 kB | Adobe PDF | View/Open |
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