Models for extremal dependence derived from skew-symmetric families

DOI10.1111/SJOS.12240zbMATH Open1361.62009arXiv1507.00108OpenAlexW2963097484MaRDI QIDQ2965533FDOQ2965533

Authors: Boris Beranger, S. A. Padoan, S. A. Sisson 

Publication date: 3 March 2017

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Abstract: Skew-symmetric families of distributions such as the skew-normal and skew-$t$ represent supersets of the normal and $t$ distributions, and they exhibit richer classes of extremal behaviour. By defining a non-stationary skew-normal process, which allows the easy handling of positive definite, non-stationary covariance functions, we derive a new family of max-stable processes - the extremal-skew-$t$ process. This process is a superset of non-stationary processes that include the stationary extremal-$t$ processes. We provide the spectral representation and the resulting angular densities of the extremal-skew-$t$ process, and illustrate its practical implementation (Includes Supporting Information).

Full work available at URL: https://arxiv.org/abs/1507.00108

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zbMATH Keywords

max-stable distributionextremal coefficientasymptotic independenceextreme valuesnon-stationarityskew-normal distributionskew-\(t\) distributionangular densitynon-central extended skew-\(t\) distributionskew-normal process

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Point estimation (62F10) Inference from spatial processes (62M30) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to environmental and related topics (62P12) Characterization and structure theory of statistical distributions (62E10) Stable stochastic processes (60G52)

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Cited In (12)

• Composite likelihood methods for histogram-valued random variables
• Extremal properties of the multivariate extended skew-normal distribution. Part B
• A modeler's guide to extreme value software
• An overview on the progeny of the skew-normal family -- a personal perspective
• Extremal properties of the skew-\(t\) distribution
• Extreme Value Distributions for the Skew-Symmetric Family of Distributions
• High-dimensional inference using the extremal skew-\(t\) process
• A Non‐Gaussian Spatio‐Temporal Model for Daily Wind Speeds Based on a Multi‐Variate Skew‐t Distribution
• Title not available (Why is that?)
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• Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
• Sub-asymptotic motivation for new conditional multivariate extreme models

Uses Software

• R
• sn
• ExtremalDep

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