FITTING EXTREME VALUE COPULAS WITH UNIMODAL CONVEX POLYNOMIAL REGRESSION USING BERNSTEIN POLYNOMIALS

Main Article Content

Danielle Gonçalves de Oliveira PRADO
Lucas Monteiro CHAVES
Devanil Jaques de SOUZA
Eleanderson Campos EUGÊNIO FILHO

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.

Article Details

How to Cite
PRADO, D. G. de O., CHAVES, L. M., SOUZA, D. J. de, & EUGÊNIO FILHO, E. C. (2022). FITTING EXTREME VALUE COPULAS WITH UNIMODAL CONVEX POLYNOMIAL REGRESSION USING BERNSTEIN POLYNOMIALS. Brazilian Journal of Biometrics, 40(2). https://doi.org/10.28951/bjb.v40i2.548
Section
Articles

Most read articles by the same author(s)

<< < 1 2