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

Authors : Selim Orhun SUSAM

Pages : 38-50

View : 22 | Download : 7

Publication Date : 2022-12-31

Article Type : Research Paper

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