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...
| Veröffentlicht in: | Journal of the Royal Statistical Society. Series B (Methodological). - Royal Statistical Society, 1948. - 53(1991), 2, Seite 377-392 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1991
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| 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 |
| Zusammenfassung: | 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 components must satisfy certain constraints. Two new techniques for generating such models are presented. Aspects of the statistical estimation of the resulting models are discussed and are illustrated with an application to oceanographic data. |
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| ISSN: | 00359246 |