Dense classes of multivariate extreme value distributions - Archive ouverte HAL Access content directly
Journal Articles Journal of Multivariate Analysis Year : 2013

Dense classes of multivariate extreme value distributions

Abstract

In this paper, we explore tail dependence modelling in multivariate extreme value distributions. The measure of dependence chosen is the scale function, which allows combinations of distributions in a very flexible way. The correspondences between the scale function and the spectral measure or the stable tail dependence function are given. Combining scale functions by simple operations, three parametric classes of laws are (re)constructed and analyzed, and resulting nested and structured models are discussed. Finally, the denseness of each of these classes is shown.
Fichier principal
Vignette du fichier
fougeres-mercadier-nolan_HAL.pdf (453.02 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00713516 , version 1 (01-07-2012)
hal-00713516 , version 2 (16-11-2012)

Identifiers

Cite

Anne-Laure Fougères, Cécile Mercadier, John P. Nolan. Dense classes of multivariate extreme value distributions. Journal of Multivariate Analysis, 2013, 116, pp.109-129. ⟨10.1016/j.jmva.2012.11.015⟩. ⟨hal-00713516v2⟩
346 View
763 Download

Altmetric

Share

Gmail Facebook X LinkedIn More