Models for extremal dependence derived from skew-symmetric families
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Publication:2965533
max-stable distributionextremal coefficientasymptotic independenceextreme valuesnon-stationarityskew-normal distributionskew-\(t\) distributionangular densitynon-central extended skew-\(t\) distributionskew-normal process
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)
Abstract: Skew-symmetric families of distributions such as the skew-normal and skew- represent supersets of the normal and 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- process. This process is a superset of non-stationary processes that include the stationary extremal- processes. We provide the spectral representation and the resulting angular densities of the extremal-skew- process, and illustrate its practical implementation (Includes Supporting Information).
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Cited in
(15)- Extrema of skewed stable processes
- Extremal properties of the skew-\(t\) distribution
- Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
- Composite likelihood methods for histogram-valued random variables
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