Generalized Logistic Models and its orthant tail dependence

zbMath1250.62027arXiv1104.5409MaRDI QIDQ2882853

Helena Ferreira, Luísa Pereira

Publication date: 8 May 2012

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

zbMATH Keywords

copulasmixturesmultivariate extreme value distributions

Mathematics Subject Classification ID

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

Related Items (1)

Multidimensional extremal dependence coefficients

Uses Software

• QRM

Cites Work

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• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Orthant tail dependence of multivariate extreme value distributions
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• An introduction to copulas. Properties and applications
• Multivariate distributions from mixtures of max-infinitely divisible distributions
• Bivariate distributions with given extreme value attractor
• A method to obtain new copulas from a given one
• Modelling multivariate extreme value distributions
• Models for dependent extremes using stable mixtures
• A continuous general multivariate distribution and its properties
• Families of Multivariate Distributions

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