Modelling Multivariate Extreme Value Distributions

Jonathan A. Tawn

249 citations0/0 files storedBiometrika

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by Tawn (1988). Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 249 citations exist upstream.

References

1987Extreme Values, Regular Variation and Point Processes 1978MODELING THE CHOICE OF RESIDENTIAL LOCATION 1990The Asymptotic Theory of Extreme Order Statistics 1990Models for Exceedances Over High Thresholds 1988Bivariate Extreme Value Theory: Models and Estimation 1977Limit theory for multivariate sample extremes

Cited by

2019A review of quantification methodologies for multi-hazard interrelationships 1997Markov chain models for threshold exceedances 2006Multivariate generalized Pareto distributions 2000A Directory of Coefficients of Tail Dependence 1998Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles 2007Fully Nested 3-Copula: Procedure and Application on Hydrological Data 2013Efficient inference for spatial extreme value processes associated to log-Gaussian random functions 2014Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.