Simulation of multivariate extreme values
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Publication:4942508
DOI10.1080/00949659908811942zbMath0940.62046WikidataQ126247238 ScholiaQ126247238MaRDI QIDQ4942508
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
simulation; Poisson process; rejection method; multivariate extreme values; bivariate extreme values
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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
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