Max-stable Models for Multivariate Extremes
نویسنده
چکیده
• Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models for univariate and multivariate extremes. A comprehensive account is given of the various ways in which max-stable models are described. Furthermore, a construction device is proposed for generating parametric families of max-stable distributions. Although the device is not new, its role as a model generator seems not yet to have been fully exploited. Key-Words: • copula; domain of attraction; max-stable distribution; spectral measure; tail dependence. AMS Subject Classification: • 60G70, 62G32.
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