Models for dependent extremes using stable mixtures
From MaRDI portal
Publication:3552949
zbMath1195.62067arXiv0711.2345MaRDI QIDQ3552949
Anne-Laure Fougères, Holger Rootzén, John P. Nolan
Publication date: 22 April 2010
Full work available at URL: https://arxiv.org/abs/0711.2345
Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Analysis of variance and covariance (ANOVA) (62J10)
Related Items (18)
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Stochastic tail index model for high frequency financial data with Bayesian analysis ⋮ A Latent Process Model for Temporal Extremes ⋮ Sparse representation of multivariate extremes with applications to anomaly detection ⋮ Dense classes of multivariate extreme value distributions ⋮ Particle filtering for Gumbel‐distributed daily maxima of methane and nitrous oxide ⋮ Asymptotic models and inference for extremes of spatio-temporal data ⋮ A hierarchical model for serially-dependent extremes: a study of heat waves in the western US ⋮ CRPS M-estimation for max-stable models ⋮ Extreme-value copulas associated with the expected scaled maximum of independent random variables ⋮ Exploration and inference in spatial extremes using empirical basis functions ⋮ Generalized Logistic Models and its orthant tail dependence ⋮ Semi-parametric modeling of excesses above high multivariate thresholds with censored data ⋮ A hierarchical max-stable spatial model for extreme precipitation ⋮ Equivalent representations of max-stable processes via ℓp-norms ⋮ A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation ⋮ On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions ⋮ Likelihood estimators for multivariate extremes
Uses Software
This page was built for publication: Models for dependent extremes using stable mixtures
