Spectral density regression for bivariate extremes
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DOI: 10.1007/s00477-016-1257-z
Abstract: We introduce a density regression model for the spectral density of a bivariate extreme value distribution, that allows us to assess how extremal dependence can change over a covariate. Inference is performed through a double… read more here.
Keywords: regression bivariate; spectral density; density regression; density ... See more keywords