A semi-parametric stochastic generator for bivariate extreme events

DOI10.1002/STA4.145MaRDI QIDQ6540512FDOQ6540512

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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Cited In (3)

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

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