Bivariate extreme value theory: Models and estimation
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asymptotic existence of maximum likelihood estimatorsbivariate exponential distributionbivariate extreme value distributionsdependence functionlimiting distributions of renormalized componentwise maximamarginal distributionsmodel discriminationnonregular estimationstable distributionsurvival dataTests of independence
Recommendations
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- scientific article; zbMATH DE number 4100399
- Estimation of a bivariate extreme value distribution
- Modelling multivariate extreme value distributions
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Cited in
(only showing first 100 items - show all)- Bayesian inference for clustered extremes
- Convex geometry of max-stable distributions
- Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys
- Intrinsic estimation of the dependence structure for bivariate extremes
- Families of min-stable multivariate exponential and multivariate extreme value distributions
- A Bayesian bivariate failure time regression model.
- A nonparametric method for producing isolines of bivariate exceedance probabilities
- Estimating the spectral measure of an extreme value distribution
- The extremal index of a higher-order stationary Markov chain
- Effects of mis-specification in bivariate extreme value problems
- Stereology of extremes, bivariate models and computation
- Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- Extreme value attractors for star unimodal copulas
- Moving-maximum models for extrema of time series
- Characterizations of bivariate conic, extreme value, and Archimax copulas
- Estimation of risk measures in energy portfolios using modern copula techniques
- Time-varying extreme value dependence with application to leading European stock markets
- A Bayesian hierarchical model for spatial extremes with multiple durations
- Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
- Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach
- A comparison of dependence function estimators in multivariate extremes
- Assessing conditional extremal risk of flooding in Puerto Rico
- Bivariate tail estimation: dependence in asymptotic independence
- Estimation of a bivariate extreme value distribution
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- Efficient estimators and LAN in canonical bivariate POT models.
- Moment estimation for multivariate extreme value distribution
- Multivariate survival models for repeated and correlated events
- Multivariate extreme value distribution and its Fisher information matrix
- Sparse moving maxima models for tail dependence in multivariate financial time series
- A polynomial model for bivariate extreme value distributions
- Bivariate distributions with given extreme value attractor
- A geometric investigation into the tail dependence of vine copulas
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
- On the tail behaviour of aggregated random variables
- Total positivity of copulas from a Markov kernel perspective
- Asymmetric tail dependence modeling, with application to cryptocurrency market data
- Four-decision tests for stochastic dominance, with an application to environmental psychophysics
- A comparison of tail dependence estimators
- Multivariate extreme value theory -- a tutorial
- Semiparametric bivariate modelling with flexible extremal dependence
- Robust quantile estimation under bivariate extreme value models
- Spatial prediction using bivariate exponential distribution
- Bivariate extreme analysis of Olympic swimming data
- Extreme value analysis of multivariate high-frequency wind speed data
- Extreme value autoregressive model and its applications
- Bias correction in multivariate extremes
- Conditional quantiles and tail dependence
- On the study of extremes with dependent random right-censoring
- Multiplier bootstrap of tail copulas with applications
- A new representation for multivariate tail probabilities
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- Modelling of extreme wave heights and periods through copulas
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- Dependence estimation and visualization in multivariate extremes with applications to financial data
- Regular score tests of independence in multivariate extreme values
- On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix
- A comparison of two bivariate extreme value distributions
- Estimating the tail-dependence coefficient: properties and pitfalls
- Likelihood estimators for multivariate extremes
- The maximum domain of attraction of multivariate extreme value distributions is small
- Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
- High-dimensional parametric modelling of multivariate extreme events
- Graphical and formal statistical tools for the symmetry of bivariate copulas
- Testing for bivariate extreme dependence using Kendall's process
- Bivariate extreme statistics. II
- Modification of Pickands' dependence function for ordered bivariate extreme distribution
- An alternative point process framework for modeling multivariate extreme values
- scientific article; zbMATH DE number 5818905 (Why is no real title available?)
- scientific article; zbMATH DE number 5872850 (Why is no real title available?)
- scientific article; zbMATH DE number 5973798 (Why is no real title available?)
- Large-sample tests of extreme-value dependence for multivariate copulas
- Improving financial risk assessment through dependency
- The Extremal Dependence Measure and Asymptotic Independence
- Modelling multivariate extreme value distributions
- scientific article; zbMATH DE number 3888727 (Why is no real title available?)
- Identifiability of some Bivariate extremes Models
- Non-parametric estimators of multivariate extreme dependence functions
- scientific article; zbMATH DE number 5670603 (Why is no real title available?)
- Copulas: A Review and Recent Developments
- A new class of models for bivariate joint tails
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- On the Tail Behavior of Sums of Dependent Risks
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- scientific article; zbMATH DE number 3917471 (Why is no real title available?)
- scientific article; zbMATH DE number 4036904 (Why is no real title available?)
- scientific article; zbMATH DE number 4062346 (Why is no real title available?)
- scientific article; zbMATH DE number 4100399 (Why is no real title available?)
- Dense classes of multivariate extreme value distributions
- Modeling of censored bivariate extremal events
- Least Squares estimation for the multivariate weibull model of bougaard based on accelerated life test of system and component
- scientific article; zbMATH DE number 36675 (Why is no real title available?)
- Multivariate extreme‐value distributions with applications to environmental data
- A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions
- Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
- A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
- Statistical models and methods for dependence in insurance data
- Prediction Regions for Bivariate Extreme Events
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