✦ LIBER ✦

A polynomial model for bivariate extreme value distributions

✍ Scribed by S Nadarajah

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 161 KB
Volume: 42
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00179-5

No coin nor oath required. For personal study only.

✦ Synopsis

Many of the currently known models for bivariate (multivariate) extreme value distributions are too restrictive. This paper introduces a new model based on polynomial terms that overcomes most weaknesses of the known models. The simplicity and exibility of the new model are shown by derivation of various distributional properties and application to real data.

📜 SIMILAR VOLUMES

Bivariate extreme value distributions ba

Bivariate extreme value distributions based on polynomial dependence functions

✍ Claudia Klüppelberg; Angelika May 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 148 KB

In this paper, we are concerned with bivariate di erentiable models for joint extremes for dependent data sets. This question is often raised in hydrology and economics when the risk driven by two (or more) factors has to be quantiÿed. Here we give a full characterization of polynomial models by mea

Bivariate Distributions with Given Extre

Bivariate Distributions with Given Extreme Value Attractor

✍ Philippe Capéraà; Anne-Laure Fougères; Christian Genest 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 201 KB

Extreme behaviour for bivariate elliptic

Extreme behaviour for bivariate elliptical distributions

✍ Belkacem Abdous; Anne-Laure Fougères; Kilani Ghoudi 📂 Article 📅 2005 🏛 John Wiley and Sons 🌐 French ⚖ 890 KB

Reliability for extreme value distributi

Reliability for extreme value distributions

✍ S. Nadarajah 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 565 KB

In the area of stress-strength models there has been a large amount of work as regards estimation of the reliability R = Pr(Xs < Xi) when X1 and X2 are independent random variables belonging to the same univariate family of distributions. The algebraic form for R = Pr(Xs < Xi) has been worked out fo

On the limiting behavior of the Pickands

On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions

✍ Paul Deheuvels 📂 Article 📅 1991 🏛 Elsevier Science 🌐 English ⚖ 755 KB

Nonparametric Estimation of the Dependen

Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

✍ Javier Rojo Jiménez; Enrique Villa-Diharce; Miguel Flores 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 288 KB

The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated. Compar