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stat.ME2024
Inference for bivariate extremes via a semi-parametric angular-radial model
Callum John Rowlandson Murphy-Barltrop, Ed Mackay, Philip Jonathan
The modelling of multivariate extreme events is important in a wide variety of applications, including flood risk analysis, metocean engineering and financial modelling. A wide var…
stat.ME2023
Modelling multivariate extremes through angular-radial decomposition of the density function
Ed Mackay, Philip Jonathan
We present a new framework for modelling multivariate extremes, based on an angular-radial representation of the probability density function. Under this representation, the proble…