Point processes and multivariate extreme values
نویسندگان
چکیده
منابع مشابه
Free point processes and free extreme values
We continue here the study of free extreme values begun in [3]. We study the convergence of the free point processes associated with free extreme values to a free Poisson random measure ([15], [2]). We relate this convergence to the free extremal laws introduced in [3] and give the limit laws for free order statistics.
متن کاملAn alternative point process framework for modelling multivariate extreme values
Classical techniques for analysing multivariate extremes can often be framed in terms of the point process representation of de Haan (1985). Amongst other things, this representation provides a characterisation of the limiting distribution of the normalised componentwise maxima of independent and identically distributed unit Fréchet variables, i.e. the class of multivariate extreme value distri...
متن کاملA conditional approach for multivariate extreme values
Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable. Existing approaches are based on limiting arguments in which all components of the variable become large at the same rate.This limit approach is inappropriate when the extreme values of all the variables are unlikely t...
متن کاملCorrelated multivariate Poisson processes and extreme measures
Multivariate Poisson processes have many important applications in Insurance, Finance, and many other areas of Applied Probability. In this paper we study the backward simulation approach to modelling multivariate Poisson processes and analyze the connection to the extreme measures describing the joint distribution of the processes at the terminal simulation time.
متن کاملMultivariate analysis of dynamical processes Point processes and time series
The analysis of multi-dimensional biomedical systems requires analysis techniques, which are able to deal with multivariate data consisting of both time series as well as point processes. Univariate and bivariate analysis techniques in the frequency domain for time series and point processes are established and investigated, although the number of investigations is strongly biased towards time ...
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 Multivariate Analysis
سال: 1983
ISSN: 0047-259X
DOI: 10.1016/0047-259x(83)90025-8