Likelihood estimators for multivariate extremes

DOI10.1007/s10687-015-0230-4zbMath1381.62067arXiv1411.3448OpenAlexW1792010464MaRDI QIDQ262538

Marc G. Genton, Anthony C. Davison, Raphaël Huser

Publication date: 30 March 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.3448

zbMATH Keywords

multivariate extremeslogistic modelasymptotic relative efficiencypairwise likelihoodcensored likelihoodpoint process approach

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations, Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models, Modeling nonstationary temperature maxima based on extremal dependence changing with event magnitude, Non-stationary dependence structures for spatial extremes, A Vecchia approximation for high-dimensional Gaussian cumulative distribution functions arising from spatial data, Neural networks for parameter estimation in intractable models, Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions, A comparison of dependence function estimators in multivariate extremes, Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes, High-dimensional inference using the extremal skew-\(t\) process, Multivariate peaks over thresholds models, Estimation and uncertainty quantification for extreme quantile regions, Semi-parametric modeling of excesses above high multivariate thresholds with censored data, Extremal attractors of Liouville copulas, Parametric models for distributions when interest is in extremes with an application to daily temperature, A continuous updating weighted least squares estimator of tail dependence in high dimensions, Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory, Hierarchical Decompositions for the Computation of High-Dimensional Multivariate Normal Probabilities, Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes, Modeling Spatial Processes with Unknown Extremal Dependence Class, A horse race between the block maxima method and the peak-over-threshold approach, A comparative tour through the simulation algorithms for max-stable processes

Uses Software

• copula
• ismev
• copula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient inference and simulation for elliptical Pareto processes
• A hierarchical max-stable spatial model for extreme precipitation
• On the non-parametric estimation of the bivariate extreme-value distributions
• An introduction to copulas.
• Multivariate generalized Pareto distributions
• Estimation of spatial max-stable models using threshold exceedances
• A pairwise likelihood approach to estimation in multilevel probit models
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Families of min-stable multivariate exponential and multivariate extreme value distributions
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
• Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
• On the distribution of Pickands coordinates in bivariate EV and GP models
• Maxima of normal random vectors: Between independence and complete dependence
• Efficient estimators and LAN in canonical bivariate POT models.
• A characterization of the rate of convergence in bivariate extreme value models
• Efficient estimation of the canonical dependence function
• On spatial extremes: with application to a rainfall problem
• HIGH-DIMENSIONAL PARAMETRIC MODELLING OF MULTIVARIATE EXTREME EVENTS
• Dependence modelling for spatial extremes
• Max-stable models for multivariate extremes
• A construction principle for multivariate extreme value distributions
• Statistics of Multivariate Extremes
• Bivariate Logistic Distributions
• The t Copula and Related Copulas
• A note on pseudolikelihood constructed from marginal densities
• On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions
• Models for dependent extremes using stable mixtures
• A note on composite likelihood inference and model selection
• ML, PL, QL in Markov Chain Models
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Max-infinite divisibility
• Markov chain models for threshold exceedances
• A nonparametric estimation procedure for bivariate extreme value copulas
• Statistical Models
• Statistics of Extremes
• Statistical Methods for Multivariate Extremes: An Application to Structural Design
• Fisher information for a multivariate extreme value distribution
• The Multivariate Gaussian Tail Model: An Application to Oceanographic Data
• Space–Time Modelling of Extreme Events
• Likelihood-Based Inference for Max-Stable Processes
• Exploiting occurrence times in likelihood inference for componentwise maxima
• Geostatistics of extremes
• Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
• Composite likelihood estimation for the Brown-Resnick process
• A Mixture Model for Multivariate Extremes
• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• An introduction to statistical modeling of extreme values