Simulation of multivariate extreme values

DOI10.1080/00949659908811942zbMath0940.62046WikidataQ126247238 ScholiaQ126247238MaRDI QIDQ4942508

Saralees Nadarajah

Publication date: 4 June 2000

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/6549

zbMATH Keywords

simulation; Poisson process; rejection method; multivariate extreme values; bivariate extreme values

Mathematics Subject Classification ID

62H99: Multivariate analysis

62G32: Statistics of extreme values; tail inference

Related Items

A general approach to generate random variates for multivariate copulae, Simulation of certain multivariate generalized Pareto distributions, Multivariate Archimax copulas, An Alternative Point Process Framework for Modeling Multivariate Extreme Values

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Families of min-stable multivariate exponential and multivariate extreme value distributions
• Maxima of Poisson-like variables and related triangular arrays
• Modelling multivariate extreme value distributions
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Markov chain models for threshold exceedances
• Estimating Probabilities of Extreme Sea-Levels
• Statistical Methods for Multivariate Extremes: An Application to Structural Design