Date: 2013-02-15
Time: 14:30-15:30
Location: BURN 1205
Abstract:
It is often crucial to know whether the dependence structure of a bivariate distribution belongs to the class of extreme-‐value copulas. In this talk, I will describe a graphical tool that allows judgment regarding the existence of extreme-‐value dependence. I will also present a data-‐ driven nonparametric estimator of the Pickands dependence function. This estimator, which is constructed from constrained b-‐splines, is intrinsic and differentiable, thereby enabling sampling from the fitted model. I will illustrate its properties via simulation. This will lead me to highlight some of the limitations associated with currently available tests of extremeness.
Speaker
Eric Cormier is a PhD candidate in our department. He works with Christian Genest and Johanna Neslehova