Characterizing extremal dependence on a hyperplane

DOI10.1093/BIOMET/ASAG015MaRDI QIDQ7256120zbMATH OpenFDO

Authors P. Wan

Publication date 2 June 2026

Published in Biometrika (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/BIOMET/ASAG015

zbMATH Keywords

extremal dependenceHüsler-Reiss modelmultivariate extremesprincipal component analysis

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Factor analysis and principal components; correspondence analysis (62H25)

Cites work

• Bivariate extreme statistics. I
• Decompositions of dependence for high-dimensional extremes
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• Maxima of normal random vectors: Between independence and complete dependence
• Multivariate generalized Pareto distributions
• Multivariate generalized Pareto distributions along extreme directions
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Principal component analysis for multivariate extremes
• Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions

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