A construction principle for multivariate extreme value distributions

DOI10.1093/BIOMET/ASR034MaRDI QIDQ3174192zbMATH OpenOpenAlexFDO

Authors Felix Ballani, M. Schlather

Publication date 12 October 2011

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asr034

zbMATH Keywords

Dirichlet densityparametric model

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)

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Cited in

(21)

• The pairwise beta distribution: A flexible parametric multivariate model for extremes
• CONSTRUCTION OF STATISTICAL CRITERIA TAKING INTO ACCOUNT THE INFLUENCE OF THE EXTREMAL ENVIRONMENT
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• Conditional independence among max-stable laws
• Stochastic ordering in multivariate extremes
• On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
• A geometric investigation into the tail dependence of vine copulas
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
• Simulating flood event sets using extremal principal components
• Maxima of independent, non-identically distributed Gaussian vectors
• Likelihood estimators for multivariate extremes
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Bayesian model averaging for multivariate extremes
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• Semiparametric bivariate modelling with flexible extremal dependence
• Spectral density ratio models for multivariate extremes
• An M-estimator for tail dependence in arbitrary dimensions
• Conditioned limit laws for inverted max-stable processes
• A Euclidean Likelihood Estimator for Bivariate Tail Dependence
• Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data

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