Generalized logistic models and its orthant tail dependence

zbMATH Open1250.62027arXiv1104.5409MaRDI QIDQ2882853FDOQ2882853

Authors: Helena Ferreira, Luisa Pereira 

Publication date: 8 May 2012

Published in: Kybernetika (Search for Journal in Brave)

Abstract: The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn (1990), Joe and Hu (1996) and Foug`eres et al. (2009). The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and we compute for it the multivariate tail dependence coefficients considered in Li (2009).

Full work available at URL: https://arxiv.org/abs/1104.5409

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zbMATH Keywords

mixturescopulasmultivariate extreme value distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Title not available (Why is that?)
• An introduction to copulas. Properties and applications
• Modelling multivariate extreme value distributions
• Title not available (Why is that?)
• Models for dependent extremes using stable mixtures
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Families of Multivariate Distributions
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• A method to obtain new copulas from a given one
• A continuous general multivariate distribution and its properties
• Bivariate distributions with given extreme value attractor
• Orthant tail dependence of multivariate extreme value distributions
• Multivariate distributions from mixtures of max-infinitely divisible distributions

Cited In (5)

• Generalizations of logistic regression, weight of evidence, and the Gini index for a continuous target variable taking on probabilistic values
• Multivariate distribution models with generalized hyperbolic margins
• Simulating multivariate extreme value distributions of logistic type
• Multivariate semi-logistic distributions
• Multidimensional extremal dependence coefficients

Uses Software

• QRM

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