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Bernstein polynomial angular densities of multivariate extreme value distributions. (English) Zbl 1379.60056

Summary: 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.

MSC:

60G70 Extreme value theory; extremal stochastic processes
62F15 Bayesian inference
62H10 Multivariate distribution of statistics

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References:

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