Simple models for multivariate regular variations and the H\"usler-Reiss Pareto distribution
Methodology
2017-12-27 v1
Abstract
We revisit multivariate extreme value theory modeling by emphasizing multivariate regular variations and the multivariate Breiman Lemma. This allows us to recover in a simple framework the most popular multivariate extreme value distributions, such as the logistic, negative logistic, Dirichlet, extremal- and H\"usler-Reiss models. In a second part of the paper, we focus on the H\"usler-Reiss Pareto model and its surprising exponential family property. After a thorough study of this exponential family structure, we focus on maximum likelihood estimation. We also consider the generalized H\"usler-Reiss Pareto model with different tail indices and a likelihood ratio test for discriminating constant tail index versus varying tail indices.
Keywords
Cite
@article{arxiv.1712.09225,
title = {Simple models for multivariate regular variations and the H\"usler-Reiss Pareto distribution},
author = {Zhen Wai Olivier Ho and Clement Dombry},
journal= {arXiv preprint arXiv:1712.09225},
year = {2017}
}