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On Bivariate Extreme Value Copulas with Polynomial Dependence Functions

Professor Berwin A TurlachSchool of Mathematics and Statistics (M019) The University of Western Australia

Date:04 September 2019, Wednesday

Location:S16-16-118 , DSAP Seminar Room, Faculty of Science

Time:03:00PM to 04:00PM

 

We discuss how the mixed model and the asymmetric mixed model family of bivariate extreme value can be extended to bivariate extreme value copulas with polynomial dependence function of arbitrary degree. An algorithm for fitting extreme value copulas with polynomial dependence functions to data will be presented and various practical issues that arise when fitting bivariate extreme value copula models will be discussed.