On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

DOI10.1016/J.SPL.2005.06.007zbMATH Open1086.62067OpenAlexW2039008744MaRDI QIDQ2489859FDOQ2489859

Authors: Michael Falk 

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.06.007

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zbMATH Keywords

tail dependencemultivariate extreme value distributionmultivariate negative logistic distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32)

Cites Work

• An introduction to statistical modeling of extreme values
• Title not available (Why is that?)
• Title not available (Why is that?)
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Title not available (Why is that?)
• Bivariate extreme statistics. I
• Title not available (Why is that?)
• Simulating multivariate extreme value distributions of logistic type
• Dependence measures for extreme value analyses
• Efficient estimation of the canonical dependence function
• Bivariate extreme value theory: Models and estimation
• Fisher information for a multivariate extreme value distribution
• Title not available (Why is that?)
• Extreme Values in Finance, Telecommunications, and the Environment
• A directory of coefficients of tail dependence
• Multivariate extremes, aggregation and risk estimation
• Domains of attraction of multivariate extreme value distributions
• On Pickands coordinates in arbitrary dimensions
• Convergence to bivariate limiting extreme value distributions

Cited In (5)

• An exceptional max-stable process fully parameterized by its extremal coefficients
• Bivariate tail dependence and the generation of multivariate extreme value distributions
• Title not available (Why is that?)
• On tail dependence matrices. The realization problem for parametric families
• Tail correlation functions of max-stable processes

Uses Software

• ismev

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