Max-stable models for multivariate extremes

Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models for univariate and multivariate extremes. A comprehensive account is given of the various ways in which max-stable models are described. Furthermore, a construction device is proposed for generating parametric families of max-stable distributions. Although the device is not new, its role as a model generator seems not yet to have been fully exploited.

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Document type	Article de périodique (Journal article) – Article de recherche
Access type	Accès restreint
Publication date	2012
Language	Anglais
Journal information	"Revstat Statistical Journal" - Vol. 10, no.1, p. 61-82 (2012)
Peer reviewed	yes
Publisher	Instituto Nacional de Estatistica ((Portugal) [S.l.])
issn	1645-6726
Publication status	Publié
Affiliation	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords	copula ; domain of attraction ; max-stable distribution ; spectral measure ; tail dependence
Links	http://hdl.handle.net/2078.1/127113[Handle]

See also
	[boreal:110130]	MAX-STABLE MODELS FOR MULTIVARIATE EXTREMES