Models for dependent extremes using stable mixtures
From MaRDI portal
Publication:3552949
zbMath1195.62067arXiv0711.2345MaRDI QIDQ3552949
Anne-Laure Fougères, Holger Rootzén, John P. Nolan
Publication date: 22 April 2010
Full work available at URL: https://arxiv.org/abs/0711.2345
60E07: Infinitely divisible distributions; stable distributions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G32: Statistics of extreme values; tail inference
62J10: Analysis of variance and covariance (ANOVA)
Related Items
Equivalent representations of max-stable processes via ℓp-norms, A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation, A hierarchical max-stable spatial model for extreme precipitation, Likelihood estimators for multivariate extremes, Dense classes of multivariate extreme value distributions, A hierarchical model for serially-dependent extremes: a study of heat waves in the western US, CRPS M-estimation for max-stable models, Asymptotic models and inference for extremes of spatio-temporal data, Stochastic tail index model for high frequency financial data with Bayesian analysis, Extreme-value copulas associated with the expected scaled maximum of independent random variables, Exploration and inference in spatial extremes using empirical basis functions, Semi-parametric modeling of excesses above high multivariate thresholds with censored data, On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions, Sparse representation of multivariate extremes with applications to anomaly detection, A Latent Process Model for Temporal Extremes, Generalized Logistic Models and its orthant tail dependence
Uses Software
