Dispersion models for extremes
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Abstract: We propose extreme value analogues of natural exponential families and exponential dispersion models, and introduce the slope function as an analogue of the variance function. The set of quadratic and power slope functions characterize well-known families such as the Rayleigh, Gumbel, power, Pareto, logistic, negative exponential, Weibull and Fr'echet. We show a convergence theorem for slope functions, by which we may express the classical extreme value convergence results in terms of asymptotics for extreme dispersion models. The main idea is to explore the parallels between location families and natural exponential families, and between the convolution and minimum operations.
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- The limiting behavior of some infinitely divisible exponential dispersion models
- Parametric models for distributions when interest is in extremes with an application to daily temperature
- Discrete dispersion models and their Tweedie asymptotics
- Construction of multivariate dispersion models
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- Clusters of extremes: modeling and examples
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