Max-stable models for multivariate extremes

Details Max-stable models for multivariate extremes Max-stable models for multivariate extremes

2012-04-02

arxiv.org/abs/1204.0332v1

Mathematics

Probability

Invited paper for RevStat Statistical Journal. 22 pages, 3 figures

Scientific paper

Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models for univariate and multivariate extremes. A comprehensive account is given of the various ways in which max-stable models are described. Furthermore, a construction device is proposed for generating parametric families of max-stable distributions. Although the device is not new, its role as a model generator seems not yet to have been fully exploited.

Affiliated with

Also associated with

No associations

Rating

Max-stable models for multivariate extremes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Max-stable models for multivariate extremes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Max-stable models for multivariate extremes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-509364