Max-stable models for multivariate extremes

Abstract

Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models for univariate and multivariate extremes. A comprehensive account is given of the various ways in which max-stable models are described. Furthermore, a construction device is proposed for generating parametric families of max-stable distributions. Although the device is not new, its role as a model generator seems not yet to have been fully exploited.

Invited paper for RevStat Statistical Journal. 22 pages, 3 figures

References in corpus (1)

• Models for dependent extremes using stable mixtures

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