Simulating multivariate extreme value distributions of logistic type

DOI10.1023/A:1026277229992zbMATH Open1055.65021OpenAlexW1914687022MaRDI QIDQ1887258FDOQ1887258

Authors: Alec G. Stephenson 

Publication date: 24 November 2004

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1026277229992

Recommendations

• A note on the representation of parametric models for multivariate extremes
• Multivariate extreme value distribution and its Fisher information matrix
• Generalized logistic models and its orthant tail dependence
• Simulation of multivariate extreme values
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles

zbMATH Keywords

algorithmssimulationpositive stable distributionrandom number generatormultivariate asymmetric logistic model

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Statistics of extreme values; tail inference (62G32)

Cited In (31)

• Dense classes of multivariate extreme value distributions
• Title not available (Why is that?)
• An alternative point process framework for modeling multivariate extreme values
• Dimension reduction in multivariate extreme value analysis
• Identifying groups of variables with the potential of being large simultaneously
• A modeler's guide to extreme value software
• Moment estimation for multivariate extreme value distribution in a nested logistic model
• Sparse representation of multivariate extremes with applications to anomaly detection
• Some notes on multivariate generalized Pareto distributions
• Hierarchical Archimax copulas
• Simulation of multivariate extreme values
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
• Testing for a multivariate generalized Pareto distribution
• A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions
• Simulation of certain multivariate generalized Pareto distributions
• High-dimensional parametric modelling of multivariate extreme events
• Multivariate Archimax copulas
• Semi-parametric modeling of excesses above high multivariate thresholds with censored data
• Principal component analysis for multivariate extremes
• A general approach to generate random variates for multivariate copulae
• A semi-parametric stochastic generator for bivariate extreme events
• The tail dependograph
• Nonparametric estimation of multivariate extreme-value copulas
• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• Regular score tests of independence in multivariate extreme values
• Bayesian model averaging for multivariate extremes
• A note on the representation of parametric models for multivariate extremes
• On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix
• Government expenditure on the public education system
• Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches

Uses Software

• R

This page was built for publication: Simulating multivariate extreme value distributions of logistic type

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1887258)