Composite likelihood for extreme values

MaRDI QIDQ5272724zbMATH OpenFDO

Authors Huiyan Sang

Publication date 4 July 2017

zbMATH Keywords

copula modelsmax-stable process

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Likelihood-based inference for max-stable processes
• CRPS M-estimation for max-stable models
• High-dimensional inference using the extremal skew-\(t\) process
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Cited in

(7)

• Bayesian inference for multivariate extreme value distributions
• Likelihood estimators for multivariate extremes
• CRPS M-estimation for max-stable models
• Combined composite likelihood
• Likelihood-based inference for max-stable processes
• Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
• A likelihood for correlated extreme series

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