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Weighted estimation of the dependence function for an extreme-value distribution
bivariate extreme dependence function jackknife empirical likelihood method
2013/4/28
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands ...
IMPROVING PROBABILITY-WEIGHTEDMOMENT METHODS FOR THE GENERALIZED EXTREME VALUE DISTRIBUTION
empirical processes maximum likelihood estimators
2009/2/25
In 1985 Hosking et al. estimated with the so-called Probability-Weighted Moments
(PWM) method the parameters of the Generalized Extreme Value (GEV) distribution,
the latter being classically fitted ...