Max-stable models for multivariate extremes
Probability
2012-04-03 v1 Methodology
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.
Cite
@article{arxiv.1204.0332,
title = {Max-stable models for multivariate extremes},
author = {Johan Segers},
journal= {arXiv preprint arXiv:1204.0332},
year = {2012}
}
Comments
Invited paper for RevStat Statistical Journal. 22 pages, 3 figures