Simulation of multivariate extreme values

Journal of Statistical Computation and Simulation

Volumn 62, Issue 4, 1999, Pages 395-410

  Nadarajah, S ^a  

^a UNIVERSITY OF PLYMOUTH   (United Kingdom)

Author keywords

Bivariate extreme values; Multivariate extreme values; Poisson process; Rejection method; Simulation

Indexed keywords

EID: 0033234349     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949659908811942     Document Type: Article

References (21)

1. Anderson, C. W. and Coles, S. G. (1997) Approximations for Poisson-like maxima. Annals of Applied Probability, 7, 953-971.
2. Anderson, C. W. and Nadarajah, S. (1993) Environmental factors affecting reservoir safety. In: Statistics for the Environment I (Eds.,) Barnett, V. and Turkman, K. F. pp. 163-182. Chichester: John Wiley and Sons.
3. Coles, S. G. and Tawn, J. A. (1991) Modelling extreme multivariate events. Journal of Royal Statistical Society Series B, 53, 377-392.
4. Coles, S. G. and Tawn, J. A. (1994) Statistical methods for multivariate extremes: an application to structural design. Applied Statistics, 43, 1-48.
5. Davison, A. C. and Smith, R. L. (1990) Model for exceedances over high thresholds. Journal of Royal Statistical Society Series B, 52, 393-442.
6. De Haan, L. (1985) Extremes in higher dimensions: the model and some statistics. Proceedings of 45th Session of the I. S. I., paper 26.3.
7. Dixon, M. J. and Tawn, J. A. (1994) Extreme sea levels: modelling interactions between tide and surge. In: Statistics for the Environment II (Eds.,) Barnett, V. and Turkman, K. F. pp. 221-232. Chichester: John Wiley and Sons.
8. Galambos, J. (1978) The asymptotic theory of extreme order statistics (2nd edition). Malabar, Florida: Robert E. Krieger.
9. Gomes, M. I. (1994) Penultimate behaviour of the extremes. In: Extreme Value Theory and its Applications, editor Galambos, J. pp. 403-418. Boston: Kluwer.
10. Joe, H. (1990) Families of min-stable multivariate exponential and multivariate extreme value distributions. Statistics and Probability Letters, 9, 75-81.
11. Joe, H., Smith, R. L. and Weissman, I. (1992) Bivariate threshold methods for extremes. Journal of Royal Statistical Society Series B, 54, 171-183.
12. Ledford, A. W. and Tawn, J. A. (1996) Statistics for near independence in multivariate extreme values. Biometrika, 83, 169-187.
13. McFadden, D. (1978) Modelling the choice of residential location. In: Spatial Interaction Theory and Planning Models (Eds.,) Karlqvist, A., Lundquist, L., Snickers, F. and Weibull, J. pp. 75-96. Amsterdam: North-Holland.
14. Nadarajah, S. (1994) Multivariate extreme value models with applications to reservoir flood safety. Ph. D. Thesis, University of Sheffield.
15. Resnick, S. I. (1987) Extreme values, regular variation and point processes. New York: Springer.
16. Ripley, B. D. (1987) Stochastic Simulation. New York: John Wiley and Sons.
17. Shi, D., Smith, R. L. and Coles, S. G. (1993) Joint versus marginal estimation for bivariate extremes. Submitted.
18. Smith, R. L., Tawn, J. A. and Coles, S. G. (1997) Markov chain models for threshold exceedances. Biometrika, 84, 249-268.
19. Tawn, J. A. (1988) Bivariate extreme value theory: models and estimation. Biometrika, 75, 397-415.
20. Tawn, J. A. (1990) Modelling multivariate extreme value distributions. Biometrika, 77, 245-253.
21. Tawn, J. A. (1992) Estimating probabilities of extreme sea-levels. Applied Statistics, 41, 1, 77-93.