Multivariate Extreme Value Distributions for Random Vibration Applications
نویسندگان
چکیده
منابع مشابه
On the Copula for Multivariate Extreme Value Distributions
We show that all multivariate Extreme Value distributions, which are the possible weak limits of the K largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through exact expressions for its density and distribution functions. We also study measures of dependence, we obtain a weak convergence result and we propose a simulation...
متن کاملOrthant tail dependence of multivariate extreme value distributions
AMS 2000 subject classifications: 62H20 62P05 Keywords: Tail dependence Heavy tails Copula Multivariate extreme value distribution Marshall–Olkin distribution Archimedean copula Contagion risk a b s t r a c t The orthant tail dependence describes the relative deviation of upper-(or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its c...
متن کاملExtreme Value Distributions
Extreme Value distributions arise as limiting distributions for maximums or minimums (extreme values) of a sample of independent, identically distributed random variables, as the sample size increases. Extreme Value Theory (EVT) is the theory of modelling and measuring events which occur with very small probability. This implies its usefulness in risk modelling as risky events per definition ha...
متن کاملRandom Multivariate Multimodal Distributions
Bayesian nonparametric inference for unimodal and multimodal random probability measures on a finite dimensional Euclidean space is examined. After a short discussion on several concepts of multivatiate unimodality, we introduce and study a new class of nonparametric prior distributions on the subspace of random multivariate multimodal distributions. This class in a way generalizes the very res...
متن کاملRKHS classification for multivariate extreme-value analysis
In many engineering applications, data samples are expensive to get and limited in number. In such a difficult context, this paper shows how classification based on Reproducing Kernel Hilbert Space (RKHS) can be used in conjunction with Extreme Value Theory (EVT) to estimate extreme multivariate quantiles and small probabilities of failure. For estimating extreme multivariate quantiles, RKHS on...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Engineering Mechanics
سال: 2005
ISSN: 0733-9399,1943-7889
DOI: 10.1061/(asce)0733-9399(2005)131:7(712)