Simulating multivariate extreme value distributions of logistic type
type: Item
instance of: scholarly article
title: Simulating multivariate extreme value distributions of logistic type
zbMATH Open document ID: 1055.65021
DOI: 10.1023/A:1026277229992
author: Alec G. Stephenson
published in: Extremes
publication date: 2004-11-24T00:00:00Z
review text: A multivariate extreme value distribution is considered with CDF \[ G(x)=\exp \left( -\sum_{b\in B} \left( \sum_{i\in b} \left( {\vartheta_{i,b}\over x_i} \right)^{1/\alpha_b} \right)^{\alpha_b} \right),\quad x_i >0, \] where \(B\subseteq 2^{\{1,\dots,d\}}\), \(\alpha_b\in(0,1)\), \(\vartheta_{i,b}\in[0,1]\) are parameters. \(G\) is called multivariate asymmetric logistic model. The symetric model corresponds to \(B=\{1\}\), \(\vartheta_{i,b}=1\). Different algorithms for random number generation from \(G\) are considered.
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 65C10
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 2118666
zbMATH Keywords: positive stable distribution
zbMATH Keywords: simulation
zbMATH Keywords: random number generator
zbMATH Keywords: multivariate asymmetric logistic model
zbMATH Keywords: algorithms
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: a:1026277229992
OpenAlex ID: W1914687022
description: scientific article; zbMATH DE number 2118666