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Modelling Multivariate Extreme Value Distributions

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References

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1988Bivariate Extreme Value Theory: Models and Estimation569 cited
1977Limit theory for multivariate sample extremes360 cited

Cited by

2019A review of quantification methodologies for multi-hazard interrelationships363 cited
1997Markov chain models for threshold exceedances200 cited
2006Multivariate generalized Pareto distributions192 cited
1998Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles144 cited
2000A Directory of Coefficients of Tail Dependence144 cited
2007Fully Nested 3-Copula: Procedure and Application on Hydrological Data114 cited
2013Efficient inference for spatial extreme value processes associated to log-Gaussian random functions111 cited
2014Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes108 cited
1993Regional Modelling of Extreme Storms Via Max-Stable Processes108 cited

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2015High-Order Composite Likelihood Inference for Max-Stable Distributions and Processes96 cited

2003Non-Parametric Pricing of Multivariate Contingent Claims79 cited

1994Multivariate Threshold Methods70 cited

1997Estimating the spectral measure of an extreme value distribution68 cited

2012Nonparametric estimation of multivariate extreme-value copulas62 cited

2016Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials57 cited

2008Models for Dependent Extremes Using Stable Mixtures51 cited