Determining the dependence structure of multivariate extremes

DOI10.1093/BIOMET/ASAA018zbMath1451.62059arXiv1809.01606OpenAlexW3022705051MaRDI QIDQ5127202

Emma S. Simpson, Jonathan A. Tawn, Jennifer L. Wadsworth

Publication date: 21 October 2020

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.01606

zbMATH Keywords

asymptotic independencehidden regular variationmultivariate regular variationextremal dependence structure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32) Hydrology, hydrography, oceanography (86A05)

Related Items (6)

Linking representations for multivariate extremes via a limit set ⋮ Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data ⋮ Tail inverse regression: dimension reduction for prediction of extremes ⋮ A geometric investigation into the tail dependence of vine copulas ⋮ Principal component analysis for multivariate extremes ⋮ Sparse regular variation

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