- Türkiye İstatistik Derneği Dergisi
- Vol: 14 Issue: 2
- A Graphical Tool for Extreme Value Copula Selection Based on the Pickands Dependence Function
A Graphical Tool for Extreme Value Copula Selection Based on the Pickands Dependence Function
Authors : Selim Orhun Susam
Pages : 38-50
View : 8 | Download : 4
Publication Date : 2022-12-31
Article Type : Research
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