A semi-parametric stochastic generator for bivariate extreme events

<a class="pub-badge pub-badge--doi" href="https://doi.org/10.1002/STA4.145" rel="nofollow">DOI 10.1002/STA4.145</a><a class="pub-badge pub-badge--mardi" href="https://portal.mardi4nfdi.de/wiki/Item:Q6540512" rel="nofollow">MaRDI QID Q6540512</a><a class="pub-badge pub-badge--grey" href="https://fdo.portal.mardi4nfdi.de/fdo/Q6540512" rel="nofollow">FDO</a>

Authors Giulia Marcon, Philippe Naveau, S. A. Padoan

Publication date 16 May 2024

Published in Stat (Search for Journal in Brave)

zbMATH Keywords

angular measureBernstein polynomialsextremal dependencePickands dependence functionPoisson point processwind speedgeneralized extreme-value distributionbivariate extreme-value distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Simulating multivariate extreme value distributions of logistic type
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• Stochastic weather generators: an overview of weather type models
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Cited in

(3)

• New estimation methods for extremal bivariate return curves
• Monge-Kantorovich superquantiles and expected shortfalls with applications to multivariate risk measurements
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets

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