MODELING MULTIVARIATE EXTREME VALUE DISTRIBUTIONS
成果类型：
Article
署名作者：
TAWN, JA
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.1093/biomet/77.2.245
发表日期：
1990
页码：
245253
关键词：
摘要：
Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by Tawn (1988). Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.