Generalized logistic models and its orthant tail dependence

MaRDI QIDQ2882853zbMATH OpenFDO

Authors Helena Ferreira, Luisa Pereira

Publication date 8 May 2012

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.5409, https://eudml.org/doc/196606, http://www.kybernetika.cz/content/2011/5/732

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)

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).

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Cites work

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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

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Uses Software

• QRM

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