Modelling Extreme Multivariate Events

The classical treatment of multivariate extreme values is through componentwise ordering, though in practice most interest is in actual extreme events. Here the point process of observations which are extreme in at least one component is considered. Parametric models for the dependence between compo...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of the Royal Statistical Society. Series B (Methodological). - Royal Statistical Society, 1948. - 53(1991), 2, Seite 377-392
1. Verfasser:	Coles, Stuart G. (VerfasserIn)
Weitere Verfasser:	Tawn, Jonathan A.
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	1991
Zugriff auf das übergeordnete Werk:	Journal of the Royal Statistical Society. Series B (Methodological)
Schlagworte:	Extreme Value Theory Generalized Pareto Distrbution Maximum Likelihood Multivariate Ordering Non-Homogeneous Poisson Process Simplex Measures Business Mathematics Physical sciences Applied sciences