Multivariate extreme value copulas with factor and tree dependence structures

DOI10.1007/s10687-017-0298-0zbMath1453.62494MaRDI QIDQ1744180

Xianqiang Yang

Publication date: 16 April 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-017-0298-0

zbMATH Keywords

Gaussian quadrature; Hüsler-Reiss distribution; parsimonious dependence; extreme value limit; vine graphical model

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62H12: Estimation in multivariate analysis

62P12: Applications of statistics to environmental and related topics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

Uses Software

• ismev
• CopulaModel