A Graphical Tool for Extreme Value Copula Selection Based on the Pickands Dependence Function

Abstract

We present a graphical tool that was primarily proposed by Michiels et al. [18] and later modified by Durante et al. [4]. We also improve this method to select the better fit of the given data among some extreme value copulas based on the Pickands dependence function. We conduct a Monte Carlo simulation study to investigate its performance. Also, the graphical method is illustrated by a real data example.

Keywords

• Copula
• Pickands function
• Extreme value copula

References

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