Tail-dependence, exceedance sets, and metric embeddings

DOI10.1007/S10687-023-00471-ZarXiv2212.01044OpenAlexW4378472588MaRDI QIDQ6144816

Sebastian Neblung, Anja Janssen, Stilian A. Stoev

Publication date: 8 January 2024

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2212.01044

zbMATH Keywords

NP completenessmetric embeddingmultivariate regular variationtail-dependence matrixline metricstail-dependence coefficientsBernoulli compatibilityexceedance setsmax-stable vectorsrealization problem for TD matricesTawn-Molchanov models

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) General theory of distance geometry (51K05) Metric embeddings as related to computational problems and algorithms (68R12)

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