Bivariate extreme value theory: Models and estimation
From MaRDI portal
Publication:3799509
DOI10.1093/biomet/75.3.397zbMath0653.62045OpenAlexW1983099978MaRDI QIDQ3799509
Publication date: 1988
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/75.3.397
dependence functionsurvival databivariate extreme value distributionsmarginal distributionsbivariate exponential distributionstable distributionmodel discriminationnonregular estimationasymptotic existence of maximum likelihood estimatorslimiting distributions of renormalized componentwise maximaTests of independence
Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Point estimation (62F10) Reliability and life testing (62N05)
Related Items
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures, Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang, Least Squares estimation for the multivariate weibull model of bougaard based on accelerated life test of system and component, A robust test for asymptotic independence of bivariate extremes, Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables, Min-infinite divisibility of the bivariate Marshall–Olkin copulas, Spectral Density Ratio Models for Multivariate Extremes, Nonparametric Identification of Copula Structures, A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications, Extreme value theory for stochastic processes, Multivariate extreme‐value distributions with applications to environmental data, Geostatistics of extremes, New closed-form efficient estimators for a bivariate Weibull distribution, A goodness-of-fit test based on Bézier curve estimation of Kendall distribution, Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data, Neural networks for parameter estimation in intractable models, Simulating flood event sets using extremal principal components, Unnamed Item, A New Class of Models for Bivariate Joint Tails, Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case, Nonparametric estimation of the dependence function in bivariate extreme value distributions, Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles, Extreme dependence of multivariate catastrophic losses, Robust Fits for Copula Models, Simulation of multivariate extreme values, Polynomial Pickands functions, On the Tail Behavior of Sums of Dependent Risks, Unnamed Item, Extreme events of Markov chains, A Compendium of Copulas, On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence, Projection estimators of Pickands dependence functions, A bayesian estimator for the dependence function of a bivariate extreme‐value distribution, Copulas: A Review and Recent Developments, Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk, Improving financial risk assessment through dependency, Estimation of high-order moment-independent importance measures for Shapley value analysis, Characterizations of bivariate conic, extreme value, and Archimax copulas, The Extremal Dependence Measure and Asymptotic Independence, Estimation of risk measures in energy portfolios using modern copula techniques, Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion, Rank-based inference for bivariate extreme-value copulas, Construction of non-exchangeable bivariate distribution functions, Moment estimation for multivariate extreme value distribution, Testing for Bivariate Extreme Dependence Using Kendall's Process, Time-varying extreme value dependence with application to leading European stock markets, Multivariate survival models for repeated and correlated events, A Bayesian hierarchical model for spatial extremes with multiple durations, Multivariate extreme value distribution and its Fisher information matrix, Asymmetric tail dependence modeling, with application to cryptocurrency market data, Tail relation between return and volume in the US stock market: an analysis based on extreme value theory, Four-decision tests for stochastic dominance, with an application to environmental psychophysics, A comparison of tail dependence estimators, Multivariate generalized Pareto distributions, Dense classes of multivariate extreme value distributions, On the study of extremes with dependent random right-censoring, Smoothed jackknife empirical likelihood method for tail copulas, Estimation of spatial max-stable models using threshold exceedances, The maximum domain of attraction of multivariate extreme value distributions is small, Aggregation functions: construction methods, conjunctive, disjunctive and mixed classes, Sparse moving maxima models for tail dependence in multivariate financial time series, Unnamed Item, Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach, Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines, A generalized beta copula with applications in modeling multivariate long-tailed data, On the regular variation of ratios of jointly Fréchet random variables, A comparison of dependence function estimators in multivariate extremes, A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions, Multiplier bootstrap of tail copulas with applications, A new representation for multivariate tail probabilities, Statistical models and methods for dependence in insurance data, Hutchinson -- Lai's conjecture for bivariate extreme value copulas., A polynomial model for bivariate extreme value distributions, New estimators of the Pickands dependence function and a test for extreme-value dependence, Spatial modeling of extreme snow depth, Unnamed Item, Vector generalized linear and additive extreme value models, Parametric tail copula estimation and model testing, Bivariate distributions with given extreme value attractor, Partial derivatives and confidence intervals of bivariate tail dependence functions, Using B-splines for nonparametric inference on bivariate extreme-value copulas, Copula calibration, Unnamed Item, Extreme value copula estimation based on block maxima of a multivariate stationary time series, Modelling dependence, Statistics for tail processes of Markov chains, Modification of Pickands' Dependence Function for Ordered Bivariate Extreme Distribution, Assessing conditional extremal risk of flooding in Puerto Rico, One-sided tests in shared frailty models, Mass distributions of two-dimensional extreme-value copulas and related results, An Alternative Point Process Framework for Modeling Multivariate Extreme Values, Multivariate extreme value theory -- a tutorial, A conditional extreme value volatility estimator based on high-frequency returns, Lipschitz continuity of copulas w.r.t. \(L_p\)-norms, An M-estimator for tail dependence in arbitrary dimensions, Nonparametric estimation of the dependence function for a multivariate extreme value distribution, Dependence estimation and visualization in multivariate extremes with applications to financial data, Regular score tests of independence in multivariate extreme values, Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes, On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix, Archimax copulas and invariance under transformations, \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas, Nonparametric rank-based tests of bivariate extreme-value dependence, Efficient computation of multivariate empirical distribution functions at the observed values, A geometric investigation into the tail dependence of vine copulas, An extended Gaussian max-stable process model for spatial extremes, HIGH-DIMENSIONAL PARAMETRIC MODELLING OF MULTIVARIATE EXTREME EVENTS, Bayesian inference for clustered extremes, Convex geometry of max-stable distributions, Non-parametric estimators of multivariate extreme dependence functions, Conditioned limit laws for inverted max-stable processes, Families of min-stable multivariate exponential and multivariate extreme value distributions, Semiparametric bivariate modelling with flexible extremal dependence, Some new constructions of bivariate Weibull models, Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes, Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys, A Bayesian bivariate failure time regression model., Estimating the spectral measure of an extreme value distribution, Spatial prediction using bivariate exponential distribution, Bivariate extreme analysis of Olympic swimming data, Extreme value analysis of multivariate high-frequency wind speed data, Large-sample tests of extreme-value dependence for multivariate copulas, Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework, On the tail behaviour of aggregated random variables, Estimation of Pickands dependence function of bivariate extremes under mixing conditions, Estimating the tail-dependence coefficient: properties and pitfalls, Total positivity of copulas from a Markov kernel perspective, The extremal index of a higher-order stationary Markov chain, Nonparametric estimation of the spectral measure of an extreme value distribution., Bias correction in multivariate extremes, Extreme value attractors for star unimodal copulas, Moving-maximum models for extrema of time series, Graphical and formal statistical tools for the symmetry of bivariate copulas, Conditional quantiles and tail dependence, Likelihood estimators for multivariate extremes
