Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions

DOI10.1111/sjos.12245zbMath1394.62064OpenAlexW2521031254MaRDI QIDQ2965539

Christian Y. Robert, Alexis Bienvenüe

Publication date: 3 March 2017

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12245

zbMATH Keywords

high thresholdinghigh-dimensional extreme value distributionslikelihood and simulation-based likelihood inference

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistics of extreme values; tail inference (62G32)

Related Items (4)

High-dimensional inference using the extremal skew-\(t\) process ⋮ Estimation and uncertainty quantification for extreme quantile regions ⋮ Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes ⋮ Extremes on river networks

Uses Software

• QRM

Cites Work

• Efficient inference and simulation for elliptical Pareto processes
• A hierarchical max-stable spatial model for extreme precipitation
• Likelihood estimators for multivariate extremes
• Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
• Extreme value properties of multivariate \(t\) copulas
• On composite marginal likelihoods
• Multivariate generalized Pareto distributions
• Estimation of spatial max-stable models using threshold exceedances
• Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
• On the likelihood function of Gaussian max-stable processes
• A note on pseudolikelihood constructed from marginal densities
• On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions
• Likelihood-Based Inference for Max-Stable Processes
• Exploiting occurrence times in likelihood inference for componentwise maxima
• Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
• Composite likelihood estimation for the Brown-Resnick process
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