Multivariate extreme value copulas with factor and tree dependence structures
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Gaussian quadratureparsimonious dependenceextreme value limitvine graphical modelHüsler-Reiss distribution
Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)
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Cites work
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Cited in
(14)- Extreme dependence of multivariate catastrophic losses
- Hierarchical Archimax copulas
- Conditional normal extreme-value copulas
- On the copula for multivariate extreme value distributions
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
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- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Linear factor copula models and their properties
- Dependence structure estimation using copula recursive trees
- Supermodular and directionally convex comparison results for general factor models
- Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution
- Extremes and regular variation
- One- versus multi-component regular variation and extremes of Markov trees
- Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
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