Simulating multivariate extreme value distributions of logistic type

DOI10.1023/A:1026277229992zbMath1055.65021OpenAlexW1914687022MaRDI QIDQ1887258

Alec G. Stephenson

Publication date: 24 November 2004

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1026277229992

zbMATH Keywords

algorithmssimulationrandom number generatorpositive stable distributionmultivariate asymmetric logistic model

Mathematics Subject Classification ID

Related Items (26)

Hierarchical Archimax copulas ⋮ Sparse representation of multivariate extremes with applications to anomaly detection ⋮ Nonparametric estimation of an extreme-value copula in arbitrary dimensions ⋮ Dense classes of multivariate extreme value distributions ⋮ Testing for a multivariate generalized Pareto distribution ⋮ A note on the representation of parametric models for multivariate extremes ⋮ A modeler's guide to extreme value software ⋮ Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches ⋮ A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions ⋮ Multivariate Archimax copulas ⋮ Nonparametric estimation of multivariate extreme-value copulas ⋮ Some notes on multivariate generalized Pareto distributions ⋮ A general approach to generate random variates for multivariate copulae ⋮ An Alternative Point Process Framework for Modeling Multivariate Extreme Values ⋮ Nonparametric estimation of the dependence function for a multivariate extreme value distribution ⋮ Regular score tests of independence in multivariate extreme values ⋮ Dimension reduction in multivariate extreme value analysis ⋮ On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix ⋮ Semi-parametric modeling of excesses above high multivariate thresholds with censored data ⋮ Bayesian model averaging for multivariate extremes ⋮ HIGH-DIMENSIONAL PARAMETRIC MODELLING OF MULTIVARIATE EXTREME EVENTS ⋮ Simulation of certain multivariate generalized Pareto distributions ⋮ Principal component analysis for multivariate extremes ⋮ Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes ⋮ Identifying groups of variables with the potential of being large simultaneously ⋮ The tail dependograph

Uses Software

• R

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