Multivariate extreme models based on underlying skew-t and skew-normal distributions

DOI10.1016/J.JMVA.2011.01.014MaRDI QIDQ716176zbMATH OpenOpenAlexFDO

Authors S. A. Padoan

Publication date 19 April 2011

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2011.01.014

zbMATH Keywords

max-stable distributionsPickands dependence functionskew-normal distributionsspatial extremesextreme copulasskew-t distributionstail dependence function

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

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• Extremal properties of the multivariate extended skew-normal distribution. Part B
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Cited in

(22)

• A Space-Time Skew-t Model for Threshold Exceedances
• On connections between skewed, weighted and distorted distributions: applications to model extreme value distributions
• Extreme dependence models based on event magnitude
• Extremal properties of the multivariate extended skew-normal distribution. Part B
• Extremal properties of the skew-t distribution
• An overview on the progeny of the skew-normal family -- a personal perspective
• Representations of \(\max\)-stable processes via exponential tilting
• Toward a copula theory for multivariate regular variation
• Multivariate extremes of generalized skew-normal distributions
• Multivariate directional tail-weighted dependence measures
• Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations
• A multivariate spatial skew-\(t\) process for joint modeling of extreme precipitation indexes
• Models for extremal dependence derived from skew-symmetric families
• Multivariate extreme value copulas with factor and tree dependence structures
• The poly-log Weibull model applied to space-time interpolation of temperature
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
• Tail asymptotics for the bivariate skew normal
• scientific article; zbMATH DE number 7660129 (Why is no real title available?)
• Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
• A note on the direction maximizing skewness in multivariate skew-t vectors
• Expansions and penultimate distributions of maxima of bivariate normal random vectors

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