Extreme Dependence Models

DOI10.48550/arXiv.1508.05561zbMath1365.62173arXiv1508.05561MaRDI QIDQ73770

Boris Beranger, Simone A. Padoan, Boris Beranger

Publication date: 23 August 2015

Full work available at URL: https://arxiv.org/abs/1508.05561

zbMATH Keywords

multivariate extreme value model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to environmental and related topics (62P12) Non-Markovian processes: estimation (62M09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Joint inference on extreme expectiles for multivariate heavy-tailed distributions ⋮ Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Tail density estimation for exploratory data analysis using kernel methods ⋮ High-dimensional inference using the extremal skew-\(t\) process ⋮ Estimation and uncertainty quantification for extreme quantile regions ⋮ ExtremalDep

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