Bivariate extreme value distributions based on polynomial dependence functions

DOI10.1002/MMA.525MaRDI QIDQ5486377zbMATH OpenOpenAlexFDO

Authors Claudia Klüppelberg, Angelika May

Publication date 6 September 2006

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.525

zbMATH Keywords

dependence measuredependence functionbivariate extreme value distributionsPickands' representation theorem

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Multivariate distribution of statistics (62H10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited in

(9)

• Dense classes of multivariate extreme value distributions
• A new class of models for bivariate joint tails
• A polynomial model for bivariate extreme value distributions
• Inference for asymptotically independent samples of extremes
• Polynomial Pickands functions
• \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas
• Properties of extremal dependence models built on bivariate MAX-linearity
• Robust bounds in multivariate extremes
• Consistency of Bayesian inference for multivariate max-stable distributions

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