Bernstein polynomial angular densities of multivariate extreme value distributions

Timothy E. Hanson, Miguel de Carvalho () and Yuhui Chen

Statistics & Probability Letters, 2017, vol. 128, issue C, 60-66

Abstract: To model the angular measure of a multivariate extreme value distribution, we develop a mean-constrained Bernstein polynomial over the (p−1)-dimensional simplex, along with a generalization that places mass on the simplex boundaries.

Keywords: Angular measure; Multivariate Bernstein polynomials; Multivariate extreme values (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.03.030

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