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arXiv · 1507.00108

Models for extremal dependence derived from skew-symmetric families

Boris Beranger·Simone A. Padoan·Scott A. Sisson
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Abstract

Skew-symmetric families of distributions such as the skew-normal and skew-$t$ represent supersets of the normal and $t$ distributions, and they exhibit richer classes of extremal behaviour. By defining a non-stationary skew-normal process, which allows the easy handling of positive definite, non-stationary covariance functions, we derive a new family of max-stable processes - the extremal-skew-$t$ process. This process is a superset of non-stationary processes that include the stationary extremal-$t$ processes. We provide the spectral representation and the resulting angular densities of the extremal-skew-$t$ process, and illustrate its practical implementation (Includes Supporting Information).

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Boris Beranger, Simone A. Padoan, Scott A. Sisson. 2015-07-01. Models for extremal dependence derived from skew-symmetric families. https://arxiv.org/abs/1507.00108

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