Multivariate extreme value copulas with factor and tree dependence structures

DOI10.1007/s10687-017-0298-0zbMath1453.62494OpenAlexW2624583337MaRDI QIDQ1744180

Xianqiang Yang

Publication date: 16 April 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-017-0298-0

zbMATH Keywords

Gaussian quadratureHüsler-Reiss distributionparsimonious dependenceextreme value limitvine graphical model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (9)

Hierarchical Archimax copulas ⋮ Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ Supermodular and directionally convex comparison results for general factor models ⋮ Conditional normal extreme-value copulas ⋮ Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables ⋮ Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions ⋮ Extremes and regular variation ⋮ One- versus multi-component regular variation and extremes of Markov trees

Uses Software

• ismev
• CopulaModel

Cites Work

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