Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables

DOI10.1007/s10687-021-00407-5zbMath1475.62161arXiv2001.09510OpenAlexW3131883054MaRDI QIDQ2231309

Johan Segers, Stefka Asenova, Gildas Mazo

Publication date: 29 September 2021

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.09510

zbMATH Keywords

multivariate extremeslatent variablesgraphical modelstail dependenceHüsler-Reiss distributionriver networkMarkov treetail tree

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Trees (05C05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Probabilistic graphical models (62H22)

Related Items (4)

Total positivity in multivariate extremes ⋮ Tail inverse regression: dimension reduction for prediction of extremes ⋮ A modeler's guide to extreme value software ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions

Uses Software

• CopulaModel
• bootlib

Cites Work

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