Dense classes of multivariate extreme value distributions

DOI10.1016/j.jmva.2012.11.015zbMath1277.62143OpenAlexW2088730993MaRDI QIDQ391525

Anne-Laure Fougères, John P. Nolan, Cécile Mercadier

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.11.015

zbMATH Keywords

dependence functionextremal dependencelogistic distributionsmax-stablemodels for multivariate extremes

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (10)

Estimating an extreme Bayesian network via scalings ⋮ \(k\)-means clustering of extremes ⋮ Inference for Archimax copulas ⋮ Multivariate Archimax copulas ⋮ CRPS M-estimation for max-stable models ⋮ Properties of extremal dependence models built on bivariate MAX-linearity ⋮ Exploration and inference in spatial extremes using empirical basis functions ⋮ Equivalent representations of max-stable processes via ℓ^p-norms ⋮ Polynomial Pickands functions ⋮ Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise

Cites Work

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