How to model multivariate extremes if one must?

DOI10.1111/J.1467-9574.2005.00289.XMaRDI QIDQ5313467zbMATH OpenOpenAlexFDO

Authors T. Mikosch

Publication date 1 September 2005

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.2005.00289.x

zbMATH Keywords

copulaelliptical distributionextreme value distributionheavy-tailed distributionmultivariate regular variation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Regularly varying multivariate time series
• Multivariate extreme value analysis
• Toward a copula theory for multivariate regular variation
• Max-autoregressive and moving maxima models for extremes
• Statistics of Multivariate Extremes

Cites work

• A characterization of multivariate regular variation.
• Extremal behavior of regularly varying stochastic processes
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Limit theory for multivariate sample extremes
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• On convergence toward an extreme value distribution in \(C[0,1]\)
• Regular variation of GARCH processes.
• Sea and wind: multivariate extremes at work
• The supremum of a negative drift random walk with dependent heavy-tailed steps.

Cited in

(12)

• Regularly varying multivariate time series
• Extremes of scale mixtures of multivariate time series
• Copulas: Tales and facts (with discussion)
• On the regular variation of elliptical random vectors
• Modeling multivariate extreme events using self-exciting point processes
• Modelling time series extremes
• On the Max-Domain of Attraction of Type-III Elliptical Triangular Arrays
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
• Multivariate autoregressive extreme value process and its application for modeling the time series properties of the extreme daily asset prices
• Conditioning on an extreme component: model consistency with regular variation on cones
• Testing the regular variation model for multivariate extremes with flexible circular and spherical distributions
• On Pearson-Kotz Dirichlet distributions

This page was built for publication: How to model multivariate extremes if one must?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5313467)