Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions

DOI10.1016/j.jmva.2011.01.014zbMath1233.62111OpenAlexW2073329652MaRDI QIDQ716176

Simone A. Padoan

Publication date: 19 April 2011

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.01.014

zbMATH Keywords

Pickands dependence functionskew-normal distributionsspatial extremesmax-stable distributionsextreme copulasskew-t distributionstail dependence function

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (16)

Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations ⋮ Extremal properties of the skew-\(t\) distribution ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ Extreme dependence models based on event magnitude ⋮ A Space-Time Skew-t Model for Threshold Exceedances ⋮ Tail asymptotics for the bivariate skew normal ⋮ Models for Extremal Dependence Derived from Skew-symmetric Families ⋮ Unnamed Item ⋮ Expansions and penultimate distributions of maxima of bivariate normal random vectors ⋮ Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution ⋮ Extremal properties of the multivariate extended skew-normal distribution. Part B ⋮ Multivariate extreme value copulas with factor and tree dependence structures ⋮ Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials ⋮ Maximum likelihood estimation of skew-t copulas with its applications to stock returns ⋮ An overview on the progeny of the skew-normal family -- a personal perspective ⋮ Toward a Copula Theory for Multivariate Regular Variation

Uses Software

• ismev

Cites Work

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