𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Extreme behaviour for bivariate elliptical distributions

✍ Scribed by Belkacem Abdous; Anne-Laure Fougères; Kilani Ghoudi

Publisher
John Wiley and Sons
Year
2005
Tongue
French
Weight
890 KB
Volume
33
Category
Article
ISSN
0319-5724

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

A polynomial model for bivariate extreme
A polynomial model for bivariate extreme value distributions
✍ S Nadarajah 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 161 KB

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 va

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

Some extremal type elliptical distributi
Some extremal type elliptical distributions
✍ Samuel Kotz; Saralees Nadarajah 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 126 KB

We note that the Kotz type distribution in the class of elliptical distributions can be interpreted as being generated by the Weibull or Type III extreme value distribution. Based on this observation, we develop two new elliptical distributions based on the Type I and Type II extreme value distribut

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