Meta densities and the shape of their sample clouds

DOI10.1016/J.JMVA.2010.02.010MaRDI QIDQ972901zbMATHOpenAlexFDO

Authors August A. Balkema, Paul Embrechts, Natalia Nolde

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

level setsmultivariate extremesregular variationlimit shapesample cloudsmeta distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Geometric probability and stochastic geometry (60D05)

Recommendations

• Sensitivity of the limit shape of sample clouds from meta densities
• Higher order tail densities of copulas and hidden regular variation
• The shape of asymptotic dependence
• Dense classes of multivariate extreme value distributions
• Samples with a limit shape, multivariate extremes, and risk

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Cited in

(15)

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

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• QRM

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