On Pickands coordinates in arbitrary dimensions

DOI10.1016/J.JMVA.2003.10.006MaRDI QIDQ1765624zbMATH OpenOpenAlexFDO

Authors Michael Falk, Rolf-Dieter Reiss

Publication date 23 February 2005

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2003.10.006

zbMATH Keywords

dependence functionextreme value distributiongeneralized Pareto distributionmax-stable distributionPickands representationPickands transformspectral \(\delta\)-neighborhoodspectral decomposition

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited in

(21)

• Simulation of certain multivariate generalized Pareto distributions
• Convex geometry of max-stable distributions
• Expansions of multivariate Pickands densities and testing the tail dependence
• On the distribution of Pickands coordinates in bivariate EV and GP models
• Weighted estimation of the dependence function for an extreme-value distribution
• Extremes of weighted Dirichlet arrays
• Multivariate Archimax copulas
• Limit laws for multidimensional extremes
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix
• Testing for tail independence in extreme value models
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• On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays
• Nonparametric rank-based tests of bivariate extreme-value dependence

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Uses Software

• ismev

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