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ArticleLikelihood estimators for multivariate extremes

Raphaël Huser2015

OA

Articlegreen2015

Likelihood estimators for multivariate extremes

Raphaël Huser · Anthony C. Davison · Marc G. Genton

68 citations·0/0 files stored·Extremes

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1999An Introduction to Copulas 2001An Introduction to Statistical Modeling of Extreme Values 1987Extreme Values, Regular Variation and Point Processes 1990Models for Exceedances Over High Thresholds 2004Statistics of Extremes 2004Statistics of Extremes: Theory and Applications 2007The t Copula and Related Copulas 1996Statistics for near independence in multivariate extreme values

Cited by

2017Multivariate peaks over thresholds models 2022Functional Peaks-Over-Threshold Analysis 2019Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes 2017A continuous updating weighted least squares estimator of tail dependence in high dimensions 2021A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach 2020Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets

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2020Advances in statistical modeling of spatial extremesarticle · 16 shared references 2015Statistics of Extremesreview · 15 shared references 2016Non-Stationary Dependence Structures for Spatial Extremesarticle · 14 shared references 2022Functional Peaks-Over-Threshold Analysisarticle · 13 shared references 2014Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processesarticle · 12 shared references 2010Extreme-Value Copulaschapter · 10 shared references

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Year2015

Typearticle

Published2015-11-17

VenueExtremes

ISSN-L1386-1999

Languageen

Citations68

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10687-015-0230-4

openalex_workW1792010464

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2020

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