HIGH-DIMENSIONAL PARAMETRIC MODELLING OF MULTIVARIATE EXTREME EVENTS

DOI10.1111/j.1467-842X.2008.00528.xzbMath1336.62134MaRDI QIDQ2802729

Alec G. Stephenson

Publication date: 27 April 2016

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlomaximamultivariate extreme value distributionpositive stable distributionsea-level

Mathematics Subject Classification ID

Related Items (9)

Sparse representation of multivariate extremes with applications to anomaly detection ⋮ A comparison of dependence function estimators in multivariate extremes ⋮ A hierarchical model for serially-dependent extremes: a study of heat waves in the western US ⋮ Exploration and inference in spatial extremes using empirical basis functions ⋮ Semi-parametric modeling of excesses above high multivariate thresholds with censored data ⋮ A hierarchical max-stable spatial model for extreme precipitation ⋮ On Pearson-Kotz Dirichlet distributions ⋮ A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation ⋮ Likelihood estimators for multivariate extremes

Uses Software

• ismev

Cites Work

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• Modelling multivariate extreme value distributions
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Comparison of Approaches for Estimating the Probability of Coastal Flooding
• Bayesian Measures of Model Complexity and Fit
• Exploiting occurrence times in likelihood inference for componentwise maxima
• Monte Carlo sampling methods using Markov chains and their applications
• An introduction to statistical modeling of extreme values
• Dependence measures for extreme value analyses

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