A note on the representation of parametric models for multivariate extremes

DOI10.1007/S10687-008-0076-0MaRDI QIDQ626291zbMATH OpenOpenAlexFDO

Authors Marc-Olivier Boldi

Publication date 22 February 2011

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-008-0076-0

zbMATH Keywords

Dirichlet distributionlogistic distributionmultivariate extremesspectral distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Inference from stochastic processes and spectral analysis (62M15)

Review text

The author extends the definition of bivariate extremal logistic distribution to the \(d\)-dimensional case. A random variable \(W=(W_1,\dots,W_d)\) on the standard simplex \(S_d\) in \(\mathbb R^d\) has extremal logistic distribution (ELD) with parameters \(\alpha_1\),\dots, \(\alpha_d\) if it is a solution to \[ {W_j\over W_d}={C_j U_j^{-\alpha_j}\over C_d U_d^{-\alpha_d}},\;j=1,\dots, d, \] where \(C_j=\Gamma(d-\alpha_j)/\Gamma(1-\alpha_j)\), \(U=(U_1,\dots,U_d)\) has density \[ h_U(u)={1\over d}\sum_{j=1}^d {\Gamma(d-\alpha_j)\over\Gamma(1-\alpha_j)} u_j^{-\alpha_j}. \] Some representations of ELDs and the extreme Dirichlet distribution are discussed. A simulation algorithm is proposed based on these representations.

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Cites work

• An introduction to statistical modeling of extreme values
• scientific article; zbMATH DE number 409721 (Why is no real title available?)
• scientific article; zbMATH DE number 469373 (Why is no real title available?)
• scientific article; zbMATH DE number 1454116 (Why is no real title available?)
• Simulating multivariate extreme value distributions of logistic type
• Statistics of Extremes

Cited in

(5)

• Extremal attractors of Liouville copulas
• Simulating multivariate extreme value distributions of logistic type
• Parametric models for distributions when interest is in extremes with an application to daily temperature
• scientific article; zbMATH DE number 69462 (Why is no real title available?)
• A semi-parametric stochastic generator for bivariate extreme events

Describes a project that uses

Uses Software

• ismev

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