Extreme dependence models

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

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

Publication date 23 August 2015

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

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)

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.

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Multivariate extreme value analysis
• Multidimensional extremal dependence coefficients
• Modelling multivariate extreme value distributions
• Measuring and modelling multivariate and spatial dependence of extremes

(13)

• Bayesian modeling of air pollution extremes using nested multivariate max-stable processes
• Extreme dependence models based on event magnitude
• Max-autoregressive and moving maxima models for extremes
• High-dimensional inference using the extremal skew-\(t\) process
• Regression-type models for extremal dependence
• 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
• Regression models to dependence for exceedance
• Tail density estimation for exploratory data analysis using kernel methods
• Extreme regression
• Consistency of Bayesian inference for multivariate max-stable distributions

This page was built for publication: Extreme dependence models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q73770)