Multivariate multiparameter extreme value models and return periods: A copula approach
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...
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ژورنال
عنوان ژورنال: Water Resources Research
سال: 2010
ISSN: 0043-1397,1944-7973
DOI: 10.1029/2009wr009040