Max-stable models for multivariate extremes
(2012) Revstat Statistical Journal — Vol. 10, n° 1, p. 61-82 (2012)
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- Abstract
- 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.
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Segers, J. (2012). Max-stable models for multivariate extremes. Revstat Statistical Journal, 10(1), 61-82. https://hdl.handle.net/2078.5/206923 (Original work published 2012)