On Pickands coordinates in arbitrary dimensions

DOI10.1016/j.jmva.2003.10.006zbMath1068.60025OpenAlexW2069890537MaRDI QIDQ1765624

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 functionspectral decompositionextreme value distributiongeneralized Pareto distributionmax-stable distributionPickands representationPickands transformspectral \(\delta\)-neighborhood

Mathematics Subject Classification ID

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

Related Items

On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays, Nonparametric estimation of an extreme-value copula in arbitrary dimensions, A goodness-of-fit test for bivariate extreme-value copulas, Weighted estimation of the dependence function for an extreme-value distribution, Multivariate Archimax copulas, Extremal behavior of Archimedean copulas, Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case, Estimation of the angular density in bivariate generalized Pareto models, 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, Extremes of weighted Dirichlet arrays, Testing for tail independence in extreme value models, Nonparametric rank-based tests of bivariate extreme-value dependence, Domain of Multivariate Attraction via Angular Decomposition, Simulation of certain multivariate generalized Pareto distributions, Convex geometry of max-stable distributions, Expansions of multivariate Pickands densities and testing the tail dependence

Uses Software

• ismev

Cites Work

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