Regression‐type models for extremal dependence

DOI10.1111/SJOS.12388zbMath1443.62161arXiv1704.08447OpenAlexW2919698200MaRDI QIDQ3299028

No author found.

Publication date: 17 July 2020

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

Full work available at URL: https://arxiv.org/abs/1704.08447

zbMATH Keywords

covariate adjustmentangular densitypenalized log-likelihoodstatistics of multivariate extremesvector generalized additive modeling (VGAM)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Generalized linear models (logistic models) (62J12) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Conditional marginal expected shortfall ⋮ Improved inference on risk measures for univariate extremes ⋮ Asymmetric tail dependence modeling, with application to cryptocurrency market data ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Bayesian space-time gap filling for inference on extreme hot-spots: an application to Red Sea surface temperatures

This page was built for publication: Regression‐type models for extremal dependence