A dependence measure for multivariate and spatial extreme values: Properties and inference

DOI10.1093/BIOMET/90.1.139zbMATH Open1035.62045OpenAlexW1977244285MaRDI QIDQ4455397FDOQ4455397

Jonathan A. Tawn, M. Schlather

Publication date: 16 March 2004

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/aed84bdaea853446295b840cd22ce5e4162d0238

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• Measuring and modelling multivariate and spatial dependence of extremes
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zbMATH Keywords

max-stable processextreme valuedependence measureextremal coefficient functionmultivariate extreme-value distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Multivariate distribution of statistics (62H10) Directional data; spatial statistics (62H11) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Cited In (80)

• Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events
• Generalized Additive Models for Exceedances of High Thresholds With an Application to Return Level Estimation for U.S. Wind Gusts
• A flexible dependence model for spatial extremes
• Toward Optimal Fingerprinting in Detection and Attribution of Changes in Climate Extremes
• The pairwise beta distribution: A flexible parametric multivariate model for extremes
• Geostatistics of extremes
• Max-stable processes for modeling extremes observed in space and time
• A comparison of dependence function estimators in multivariate extremes
• Geostatistics of dependent and asymptotically independent extremes
• Identifying groups of variables with the potential of being large simultaneously
• High-level dependence in time series models
• Dependence estimation and visualization in multivariate extremes with applications to financial data
• Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts
• Estimation of spatial max-stable models using threshold exceedances
• Truncated pair-wise likelihood for the Brown-Resnick process with applications to maximum temperature data
• Continuous spatial process models for spatial extreme values
• Capturing the multivariate extremal index: bounds and interconnections
• Clustering of high values in random fields
• Exploration and inference in spatial extremes using empirical basis functions
• Stability and contagion measures for spatial extreme value analyses
• A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation
• Spatial risk measures for max-stable and max-mixture processes
• Diagnostics for pairwise extremal dependence in spatial processes
• Extremal shot noises, heavy tails and max-stable random fields
• Generalized madogram and pairwise dependence of maxima over two regions of a random field
• A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
• Exceedance-based nonlinear regression of tail dependence
• Modelling pairwise dependence of maxima in space
• Conditional sampling for spectrally discrete max-stable random fields
• A Bayesian hierarchical model for spatial extremes with multiple durations
• Non-linear models for extremal dependence
• Extremal financial risk models and portfolio evaluation
• Stochastic derivative estimation for max-stable random fields
• Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
• Spatial risk measures and applications to max-stable processes
• A continuous updating weighted least squares estimator of tail dependence in high dimensions
• Maxima of independent, non-identically distributed Gaussian vectors
• Dependence matrices for spatial extreme events
• Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• Storm processes and stochastic geometry
• Measuring large comovements in financial markets
• Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation
• Entropy measure for the quantification of upper quantile interdependence in multivariate distributions
• Multivariate extreme models based on underlying skew-\(t\) and skew-normal distributions
• Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes
• Extremes on river networks
• Spatial modeling of extreme snow depth
• Tail correlation functions of max-stable processes
• Probabilities of Concurrent Extremes
• The realization problem for tail correlation functions
• Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
• Nonparametric spatial models for extremes: application to extreme temperature data
• Dependence properties of multivariate max-stable distributions
• Extremal dependence measure and extremogram: the regularly varying case
• Stationary max-stable fields associated to negative definite functions
• Space‒time max-stable models with spectral separability
• The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
• Statistical modeling of spatial extremes
• Robust bounds in multivariate extremes
• Ergodic properties of max-infinitely divisible processes
• GLOBAL FLUCTUATIONS IN PHYSICAL SYSTEMS: A SUBTLE INTERPLAY BETWEEN SUM AND EXTREME VALUE STATISTICS
• Long range dependence for stable random processes
• Convex geometry of max-stable distributions
• Spatial prediction using bivariate exponential distribution
• Total positivity in multivariate extremes
• Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models
• Advances in statistical modeling of spatial extremes
• Tail-dependence, exceedance sets, and metric embeddings
• Statistical methods for assessing the contagion of spatial extreme events among regions
• Equivalent representations of max-stable processes via ℓ^p-norms
• Limit laws for multidimensional extremes
• Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses
• Modeling the spatial behavior of the meteorological drivers' effects on extreme ozone
• Investigating the association between late spring Gulf of Mexico sea surface temperatures and U.S. Gulf Coast precipitation extremes with focus on Hurricane Harvey
• Recognizing a spatial extreme dependence structure: a deep learning approach
• Spatial deformation for nonstationary extremal dependence
• Improved return level estimation via a weighted likelihood, latent spatial extremes model
• New exploratory tools for extremal dependence: \(\chi \) networks and annual extremal networks
• GENERAL CHARACTERIZATION OF SOME STATISTICAL TOOLS FOR MEASURING ASYMPTOTIC DEPENDENCE

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