An Alternative Point Process Framework for Modeling Multivariate Extreme Values

DOI10.1080/03610921003764233zbMath1216.62149OpenAlexW2166582771MaRDI QIDQ3015927

Alexandra Ramos, Anthony Ledford

Publication date: 13 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610921003764233

zbMATH Keywords

simulationpoint processesasymptotic independencecoefficient of tail dependenceasymptotic dependencecomponentwise maximajoint survivor function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Inference from stochastic processes (62M99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Inference for asymptotically independent samples of extremes ⋮ Geostatistics of dependent and asymptotically independent extremes ⋮ Multidimensional extremal dependence coefficients ⋮ Asymptotic dependence of bivariate maxima

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