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arXiv · 1712.09225

Simple models for multivariate regular variations and the H\"usler-Reiss Pareto distribution

Zhen Wai Olivier Ho·Clement Dombry
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Abstract

We revisit multivariate extreme value theory modeling by emphasizing multivariate regular variations and the multivariate Breiman Lemma. This allows us to recover in a simple framework the most popular multivariate extreme value distributions, such as the logistic, negative logistic, Dirichlet, extremal-$t$ and H\"usler-Reiss models. In a second part of the paper, we focus on the H\"usler-Reiss Pareto model and its surprising exponential family property. After a thorough study of this exponential family structure, we focus on maximum likelihood estimation. We also consider the generalized H\"usler-Reiss Pareto model with different tail indices and a likelihood ratio test for discriminating constant tail index versus varying tail indices.

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Zhen Wai Olivier Ho, Clement Dombry. 2017-12-26. Simple models for multivariate regular variations and the H\"usler-Reiss Pareto distribution. https://arxiv.org/abs/1712.09225

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