It was 30 years ago today when Laurens de Haan went the multivariate way (Q1003319): Difference between revisions

The theory of multivariate max-stable distributions and max-stable processes is overviewed. Representations are discussed based on the exponent, angular and spectral measures (such as de Haan-Resnik and Pickands representations). Statistical estimation of the exponential measure, its applications to higher quantile curves estimation and confidence intervals construction are considered.

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zbMATH Keywords

spectral measures

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max-stable processes

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higher quantile curves

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exponential measures

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describes a project that uses

ismev

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10687-007-0045-z

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cites work

Almost sure continuity of stable moving average processes with index less than one

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Max-infinite divisibility

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Q3216028

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Asymptotic Distributions of Multivariate Intermediate Order Statistics

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An introduction to statistical modeling of extreme values

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Q5633348

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Q4199363

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A spectral representation for max-stable processes

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Q3706236

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Sea and wind: multivariate extremes at work

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Q5485944

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Large quantile estimation in a multivariate setting

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On convergence toward an extreme value distribution in \(C[0,1]\)

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Rates of convergence for bivariate extremes

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Spatial extremes: models for the stationary case

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Stationary min-stable stochastic processes

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Limit theory for multivariate sample extremes

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Derivatives of regularly varying functions in \(R^d\) and domains of attraction of stable distributions

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Estimating the limit distribution of multivariate extremes

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Estimating the probability of a rare event

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Q3049592

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Point processes and multivariate extreme values

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A moment estimator for the index of an extreme-value distribution

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Bivariate tail estimation: dependence in asymptotic independence

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Best attainable rates of convergence for estimators of the stable tail dependence function

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Estimating a multidimensional extreme-value distribution

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Estimating the spectral measure of an extreme value distribution

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Nonparametric estimation of the spectral measure of an extreme value distribution.

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Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

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Q4827954

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Q4040329

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max-infinitely divisible and max-stable sample continuous processes

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Analysis of Empirical Bivariate Extremal Distributions

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Q4955637

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Statistics for near independence in multivariate extreme values

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Q4363950

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An introduction to copulas.

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Q3667778

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Q3771297

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Heavy-Tail Phenomena

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Random usc functions, max-stable processes and continuous choice

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Bivariate extreme statistics. I

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Q3747404

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Identifiers

zbMATH Open document ID

1164.62351

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DOI

10.1007/s10687-007-0045-z

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1003319

@@ Property / cites work @@
+Almost sure continuity of stable moving average processes with index less than one
+Normal rank
@@ Property / cites work @@
+Max-infinite divisibility
@@ Property / cites work: Max-infinite divisibility / rank @@
+Normal rank
@@ Property / cites work @@
+Q3216028
@@ Property / cites work: Q3216028 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Distributions of Multivariate Intermediate Order Statistics
+Normal rank
@@ Property / cites work @@
+An introduction to statistical modeling of extreme values
+Normal rank
@@ Property / cites work @@
+Q5633348
@@ Property / cites work: Q5633348 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4199363
@@ Property / cites work: Q4199363 / rank @@
+Normal rank
@@ Property / cites work @@
+A spectral representation for max-stable processes
+Normal rank
@@ Property / cites work @@
+Q3706236
@@ Property / cites work: Q3706236 / rank @@
+Normal rank
@@ Property / cites work @@
+Sea and wind: multivariate extremes at work
@@ Property / cites work: Sea and wind: multivariate extremes at work / rank @@
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+Large quantile estimation in a multivariate setting
+Normal rank
@@ Property / cites work @@
+On convergence toward an extreme value distribution in \(C[0,1]\)
+Normal rank
@@ Property / cites work @@
+Rates of convergence for bivariate extremes
@@ Property / cites work: Rates of convergence for bivariate extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Spatial extremes: models for the stationary case
@@ Property / cites work: Spatial extremes: models for the stationary case / rank @@
+Normal rank
@@ Property / cites work @@
+Stationary min-stable stochastic processes
@@ Property / cites work: Stationary min-stable stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theory for multivariate sample extremes
@@ Property / cites work: Limit theory for multivariate sample extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Derivatives of regularly varying functions in \(R^d\) and domains of attraction of stable distributions
+Normal rank
@@ Property / cites work @@
+Estimating the limit distribution of multivariate extremes
+Normal rank
@@ Property / cites work @@
+Estimating the probability of a rare event
@@ Property / cites work: Estimating the probability of a rare event / rank @@
+Normal rank
@@ Property / cites work @@
+Q3049592
@@ Property / cites work: Q3049592 / rank @@
+Normal rank
@@ Property / cites work @@
+Point processes and multivariate extreme values
@@ Property / cites work: Point processes and multivariate extreme values / rank @@
+Normal rank
@@ Property / cites work @@
+A moment estimator for the index of an extreme-value distribution
+Normal rank
@@ Property / cites work @@
+Bivariate tail estimation: dependence in asymptotic independence
+Normal rank
@@ Property / cites work @@
+Best attainable rates of convergence for estimators of the stable tail dependence function
+Normal rank
@@ Property / cites work @@
+Estimating a multidimensional extreme-value distribution
+Normal rank
@@ Property / cites work @@
+Estimating the spectral measure of an extreme value distribution
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of the spectral measure of an extreme value distribution.
+Normal rank
@@ Property / cites work @@
+Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
+Normal rank
@@ Property / cites work @@
+Q4827954
@@ Property / cites work: Q4827954 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040329
@@ Property / cites work: Q4040329 / rank @@
+Normal rank
@@ Property / cites work @@
+max-infinitely divisible and max-stable sample continuous processes
+Normal rank
@@ Property / cites work @@
+Analysis of Empirical Bivariate Extremal Distributions
+Normal rank
@@ Property / cites work @@
+Q4955637
@@ Property / cites work: Q4955637 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistics for near independence in multivariate extreme values
+Normal rank
@@ Property / cites work @@
+Q4363950
@@ Property / cites work: Q4363950 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Q3667778
@@ Property / cites work: Q3667778 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Random usc functions, max-stable processes and continuous choice
+Normal rank
@@ Property / cites work @@
+Bivariate extreme statistics. I
@@ Property / cites work: Bivariate extreme statistics. I / rank @@
+Normal rank
@@ Property / cites work @@
+Q3747404
@@ Property / cites work: Q3747404 / rank @@
+Normal rank