Some notes on extremal discriminant analysis

DOI10.1016/J.JMVA.2011.06.012MaRDI QIDQ642227zbMATH OpenOpenAlexFDO

Authors B. G. Manjunath, Melanie Frick, Rolf-Dieter Reiss

Publication date 25 October 2011

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

Full work available at URL https://doi.org/10.1016/j.jmva.2011.06.012

zbMATH Keywords

truncationgeneralized Pareto distributionsGaussian modellinear discriminant functionsHüsler-Reiss triangular arrays

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Gaussian processes (60G15) Asymptotic distribution theory in statistics (62E20) Parametric inference (62F99) Statistics of extreme values; tail inference (62G32)

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Cites work

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• Approximate distributions of order statistics. With applications to nonparametric statistics
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• Limiting distributions of maxima under triangular schemes
• Maxima of normal random vectors: Between independence and complete dependence
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• Multivariate generalized Pareto distributions
• On the multivariate Hüsler-Reiss distribution attracting the maxima of elliptical triangular arrays
• Simulation of certain multivariate generalized Pareto distributions
• Some results on the multivariate truncated normal distribution
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Cited in

(2)

• Maxima of a triangular array of multivariate Gaussian sequence
• Maxima of skew elliptical triangular arrays

Describes a project that uses

Uses Software

• tmvtnorm

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