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stat.ME2016
Decompositions of Dependence for High-Dimensional Extremes
Daniel Cooley, Emeric Thibaud
Employing the framework of regular variation, we propose two decompositions which help to summarize and describel high-dimensional tail dependence. Via transformation, we define a…
stat.ME2016
Bridging Asymptotic Independence and Dependence in Spatial Extremes Using Gaussian Scale Mixtures
Raphael Huser, Thomas Opitz, Emeric Thibaud
Gaussian scale mixtures are constructed as Gaussian processes with a random variance. They have non-Gaussian marginals and can exhibit asymptotic dependence unlike Gaussian process…