Extreme dependence models

DOI10.48550/ARXIV.1508.05561zbMATH Open1365.62173arXiv1508.05561MaRDI QIDQ73770FDOQ73770

Authors: Boris Beranger, Boris Beranger, S. A. Padoan 

Publication date: 23 August 2015

Abstract: Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these events is of fundamental importance. For this purpose, probabilistic models and statistical methods are in high demand. There are several approaches to modelling multivariate extremes as described in Falk et al. (2011), linked to some extent. We describe an approach for deriving multivariate extreme value models and we illustrate the main features of some flexible extremal dependence models. We compare them by showing their utility with a real data application, in particular analyzing the extremal dependence among several pollutants recorded in the city of Leeds, UK.

Full work available at URL: https://arxiv.org/abs/1508.05561

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zbMATH Keywords

multivariate extreme value model

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Non-Markovian processes: estimation (62M09) Applications of statistics to environmental and related topics (62P12)

Cited In (8)

• High-dimensional inference using the extremal skew-\(t\) process
• Joint inference on extreme expectiles for multivariate heavy-tailed distributions
• Multivariate extreme‐value distributions with applications to environmental data
• ExtremalDep
• Estimation and uncertainty quantification for extreme quantile regions
• Tail density estimation for exploratory data analysis using kernel methods
• Extreme regression
• Consistency of Bayesian inference for multivariate max-stable distributions

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