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A goodness-of-fit test for bivariate extreme-value copulas
extreme-value copula goodness of fi t parametric bootstrap Pickands dependence function rank-based inference
2011/3/21
It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands depe...
A Bivariate Extreme Value Distribution Applied to Flood Frequency Analysis
Bivariate Extreme Value Distribution Flood Frequency Analysis
2009/10/23
This article presents a procedure for use of the Gumbel logistic model to represent
the joint distribution of two correlated extreme events. Parameters of the
distribution are estimated using the me...
Rank-based inference for bivariate extreme-value copulas
Asymptotic theory copula extreme-value distribution non-parametric estimation Pickands dependence function rank-based inference
2010/4/30
Consider a continuous random pair (X,Y ) whose dependence is
characterized by an extreme-value copula with Pickands dependence
function A. When the marginal distributions of X and Y are known,
seve...
Modification of Pickands' Dependence Function for the Simulate Ordered Bivariate Extreme Data
Bivariate Extreme Pickand’s Dependence Function Simulation Stochastics Ordering
2010/3/17
We study the characteristics of the Pickands’ dependence function
for bivariate extreme distribution for minima, BEVM, when considering
the stochastics ordering of the two variables. The existing Pi...