A construction principle for multivariate extreme value distributions

• 成果类型: Article
• 署名作者: Ballani, F.; Schlather, M.
• 署名单位: Technical University Freiberg; University of Gottingen
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asr034
• 发表日期: 2011
• 页码: 633645
• 关键词: dependence; MODEL

摘要

We present a construction principle for the spectral density of a multivariate extreme value distribution. It generalizes the pairwise beta model introduced in the literature recently and may be used to obtain new parametric models from lower dimensional spectral densities. We illustrate the flexibility of this new class of models and apply it to a wind speed dataset.