Extremal attractors of Liouville copulas

DOI10.1016/J.JMVA.2017.05.008zbMATH Open1372.60071arXiv1704.03377OpenAlexW2609328783MaRDI QIDQ110549FDOQ110549

Authors: Léo R. Belzile, Johanna G. Nešlehová, Léo R. Belzile, Johanna Nešlehová 

Publication date: August 2017

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

Abstract: Liouville copulas, which were introduced in McNeil and Neslehova (2010), are asymmetric generalizations of the ubiquitous Archimedean copula class. They are the dependence structures of scale mixtures of Dirichlet distributions, also called Liouville distributions. In this paper, the limiting extreme-value copulas of Liouville copulas and of their survival counterparts are derived. The limiting max-stable models, termed here the scaled extremal Dirichlet, are new and encompass several existing classes of multivariate max-stable distributions, including the logistic, negative logistic and extremal Dirichlet. As shown herein, the stable tail dependence function and angular density of the scaled extremal Dirichlet model have a tractable form, which in turn leads to a simple de Haan representation. The latter is used to design efficient algorithms for unconditional simulation based on the work of Dombry, Engelke and Oesting (2015) and to derive tractable formulas for maximum-likelihood inference. The scaled extremal Dirichlet model is illustrated on river flow data of the river Isar in southern Germany.

Full work available at URL: https://arxiv.org/abs/1704.03377

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zbMATH Keywords

de Haan decompositionextremal attractorextremal functionLiouville copulascaled extremal Dirichlet modelstable tail dependence function

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

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Cited In (9)

• A modeler's guide to extreme value software
• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
• Extreme-value copulas associated with the expected scaled maximum of independent random variables
• Inference for Archimax copulas
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Uses Software

• R
• QRM

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