Simulation of multivariate extreme values

DOI10.1080/00949659908811942zbMath0940.62046OpenAlexW2049587207WikidataQ126247238 ScholiaQ126247238MaRDI QIDQ4942508

Saralees Nadarajah

Publication date: 4 June 2000

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/6549

zbMATH Keywords

simulationPoisson processrejection methodmultivariate extreme valuesbivariate extreme values

Mathematics Subject Classification ID

Related Items (4)

Multivariate Archimax copulas ⋮ A general approach to generate random variates for multivariate copulae ⋮ An Alternative Point Process Framework for Modeling Multivariate Extreme Values ⋮ Simulation of certain multivariate generalized Pareto distributions

Cites Work

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• Families of min-stable multivariate exponential and multivariate extreme value distributions
• Maxima of Poisson-like variables and related triangular arrays
• Modelling multivariate extreme value distributions
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Markov chain models for threshold exceedances
• Estimating Probabilities of Extreme Sea-Levels
• Statistical Methods for Multivariate Extremes: An Application to Structural Design

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