Meta densities and the shape of their sample clouds

DOI10.1016/j.jmva.2010.02.010zbMath1198.60012MaRDI QIDQ972901

Natalia Nolde, August A. Balkema, Paul Embrechts

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.02.010

zbMATH Keywords

multivariate extremes; regular variation; level sets; limit shape; sample clouds; meta distribution

Mathematics Subject Classification ID

60D05: Geometric probability and stochastic geometry

60G70: Extreme value theory; extremal stochastic processes

60E05: Probability distributions: general theory

Related Items

Samples with a limit shape, multivariate extremes, and risk, Linking representations for multivariate extremes via a limit set, A Conversation With Paul Embrechts, Geometric interpretation of the residual dependence coefficient, Geometric disintegration and star-shaped distributions, Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes, Simulation of polyhedral convex contoured distributions, Sensitivity of the limit shape of sample clouds from meta densities, A geometric investigation into the tail dependence of vine copulas, Convergence of persistence diagrams for topological crackle, Modelling with star-shaped distributions, Topological crackle of heavy-tailed moving average processes, High-dimensional star-shaped distributions, On \((p_{1},\dots,p_{k})\)-spherical distributions, Asymptotic independence for unimodal densities

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The meta-elliptical distributions with given marginals
• Bivariate extreme statistics. I
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• High risk scenarios and extremes. A geometric approach
• Convergence of scaled random samples in \({\mathbb{R}{}}^ d\)
• \(L_p\)-norm spherical distribution
• Analysis of multivariate survival data
• The frailty model.
• Probabilistic Risk Analysis
• Regularly varying probability densities
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• Almost sure limit sets of random samples in ℝ^d
• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• A Primer on Copulas for Count Data
• Limiting Sets and Convex Hulls of Samples from Product Measures
• Hidden regular variation and the rank transform