On Pickands coordinates in arbitrary dimensions

DOI10.1016/J.JMVA.2003.10.006zbMath1068.60025OpenAlexW2069890537MaRDI QIDQ1765624

Michael Falk, Rolf-Dieter Reiss

Publication date: 23 February 2005

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2003.10.006

zbMATH Keywords

dependence functionspectral decompositionextreme value distributiongeneralized Pareto distributionmax-stable distributionPickands representationPickands transformspectral \(\delta\)-neighborhood

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Characteristic functions; other transforms (60E10)

Related Items (19)

On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays ⋮ Nonparametric estimation of an extreme-value copula in arbitrary dimensions ⋮ A goodness-of-fit test for bivariate extreme-value copulas ⋮ Weighted estimation of the dependence function for an extreme-value distribution ⋮ Multivariate Archimax copulas ⋮ Extremal behavior of Archimedean copulas ⋮ Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case ⋮ Estimation of the angular density in bivariate generalized Pareto models ⋮ Limit laws for multidimensional extremes ⋮ Nonparametric estimation of the dependence function for a multivariate extreme value distribution ⋮ Peaks-over-threshold stability of multivariate generalized Pareto distributions ⋮ On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix ⋮ Extremes of weighted Dirichlet arrays ⋮ Testing for tail independence in extreme value models ⋮ Nonparametric rank-based tests of bivariate extreme-value dependence ⋮ Domain of Multivariate Attraction via Angular Decomposition ⋮ Simulation of certain multivariate generalized Pareto distributions ⋮ Convex geometry of max-stable distributions ⋮ Expansions of multivariate Pickands densities and testing the tail dependence

Uses Software

• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Von Mises conditions revisited
• On the non-parametric estimation of the bivariate extreme-value distributions
• A note on generalized Pareto distributions and the k upper extremes
• Intrinsic estimation of the dependence structure for bivariate extremes
• Rates of convergence in multivariate extreme value theory
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Estimating the spectral measure of an extreme value distribution
• Rates of convergence for bivariate extremes
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• On the distribution of Pickands coordinates in bivariate EV and GP models
• Maxima of normal random vectors: Between independence and complete dependence
• Efficient estimators and LAN in canonical bivariate POT models.
• A characterization of the rate of convergence in bivariate extreme value models
• Von Mises conditions, \(\delta\)-neighborhoods and rates of convergence for maxima
• A course on point processes
• Statistics of Multivariate Extremes
• Bivariate Exponential Distributions
• Limit theory for multivariate sample extremes
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• A Multivariate Exponential Distribution
• Non-parametric estimation of the limit dependence function
• Nonparametric estimation of the dependence function in bivariate extreme value distributions
• Approximations for bivariate extreme values
• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• An introduction to statistical modeling of extreme values
• Dependence measures for extreme value analyses

This page was built for publication: On Pickands coordinates in arbitrary dimensions