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arXiv · 1204.0332

Max-stable models for multivariate extremes

Johan Segers
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Abstract

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.

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Johan Segers. 2012-04-02. Max-stable models for multivariate extremes. https://arxiv.org/abs/1204.0332

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