High-dimensional parametric modelling of multivariate extreme events

DOI10.1111/J.1467-842X.2008.00528.XzbMATH Open1336.62134MaRDI QIDQ2802729FDOQ2802729

Authors: Alec G. Stephenson 

Publication date: 27 April 2016

Published in: Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

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zbMATH Keywords

Markov chain Monte Carlopositive stable distributionmaximamultivariate extreme value distributionsea-level

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Geostatistics (86A32)

Cites Work

• An introduction to statistical modeling of extreme values
• Bayesian Measures of Model Complexity and Fit
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Modelling multivariate extreme value distributions
• Statistics for near independence in multivariate extreme values
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Monte Carlo sampling methods using Markov chains and their applications
• Title not available (Why is that?)
• Simulating multivariate extreme value distributions of logistic type
• Title not available (Why is that?)
• Stable densities under change of scale and total variation inequalities
• Dependence measures for extreme value analyses
• Bivariate extreme value theory: Models and estimation
• Exploiting occurrence times in likelihood inference for componentwise maxima
• Comparison of Approaches for Estimating the Probability of Coastal Flooding

Cited In (14)

• On high level exceedance modeling and tail inference
• A comparison of dependence function estimators in multivariate extremes
• Sparse representation of multivariate extremes with applications to anomaly detection
• Exploration and inference in spatial extremes using empirical basis functions
• On Pearson-Kotz Dirichlet distributions
• A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
• Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
• Semi-parametric modeling of excesses above high multivariate thresholds with censored data
• A hierarchical max-infinitely divisible spatial model for extreme precipitation
• A model for the directional evolution of severe ocean storms
• The poly-log Weibull model applied to space-time interpolation of temperature
• A hierarchical max-stable spatial model for extreme precipitation
• Likelihood estimators for multivariate extremes
• Extreme VaR scenarios in higher dimensions

Uses Software

• ismev

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