Non-linear models for extremal dependence

DOI10.1016/j.jmva.2017.04.006zbMath1397.62171OpenAlexW3123985283WikidataQ116752783 ScholiaQ116752783MaRDI QIDQ2011517

Philippe Naveau, Valérie Chavez-Demoulin, Linda Mhalla

Publication date: 3 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.04.006

zbMATH Keywords

semiparametric modelsextreme value theorygeneralized additive modelsnon-stationarityPickands functiontemperature datamax-stable random vectors

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Time-varying extreme value dependence with application to leading European stock markets ⋮ Strong convergence of multivariate maxima ⋮ The tail dependograph ⋮ Exceedance-based nonlinear regression of tail dependence

Uses Software

• R
• SemiPar
• COBS
• gamair
• ismev
• cobs
• bootlib

Cites Work

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