An alternative point process framework for modeling multivariate extreme values

Communications in Statistics - Theory and Methods

Volumn 40, Issue 12, 2011, Pages 2205-2224

  Ramos, Alexandra ^a   Ledford, Anthony ^b,c  

^a UNIVERSITY OF PORTO   (Portugal)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c Man Investments   (United Kingdom)

Author keywords

Asymptotic dependence; Asymptotic independence; Coefficient of tail dependence; Componentwise maxima; Extreme value theory; Joint survivor function; Multivariate extreme values; Point processes; Simulation

Indexed keywords

ASYMPTOTIC DEPENDENCE; ASYMPTOTIC INDEPENDENCE; COEFFICIENT OF TAIL DEPENDENCE; COMPONENTWISE; EXTREME VALUE THEORY; MULTIVARIATE EXTREMES; POINT PROCESS; SIMULATION; SURVIVOR FUNCTION;

STATISTICS;

MATHEMATICAL TECHNIQUES;

EID: 84856557910     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610921003764233     Document Type: Article

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