A Bayesian estimator for the dependence function of a bivariate extreme-value distribution

Canadian Journal of Statistics

Volumn 36, Issue 3, 2008, Pages 383-396

  Guillotte, Simon ^a   Perron, François ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Bayesian estimator; Bivariate extreme value distribution; Convex hermite interpolation; Copula; Dependence function; Markov chain monte carlo; Metropolis hastings algorithm; Prediction; Reversible jump

Indexed keywords

EID: 59249098575     PISSN: 03195724     EISSN: None     Source Type: Journal    
DOI: 10.1002/cjs.5550360304     Document Type: Article

References (19)

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