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Ordered multivariate extremes.

Research output: Contribution to journalJournal article

Published

Journal publication date1998
JournalJournal of the Royal Statistical Society, Series B
Journal number2
Volume60
Number of pages24
Pages473-496
Original languageEnglish

Abstract

Multivariate extreme value models and associated statistical methods are developed for vector observations whose components are subject to an order restriction. The approach extends the multivariate threshold methodology of Coles and Tawn, Joe and co-workers and Smith and co-workers. The results are illustrated by an analysis of extreme rainfalls of different durations, and by a study of the problem of linking a long series of daily rainfall extremes with a partially overlapping shorter series of hourly extremes.