Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Ordered multivariate extremes.
AU - Nadarajah, S.
AU - Anderson, C. W.
AU - Tawn, J. A.
PY - 1998
Y1 - 1998
N2 - 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.
AB - 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.
KW - Modelling of extremes • Multivariate extreme values • Ordered variables • Rainfall • Threshold methods
U2 - 10.1111/1467-9868.00136
DO - 10.1111/1467-9868.00136
M3 - Journal article
VL - 60
SP - 473
EP - 496
JO - Journal of the Royal Statistical Society: Series B (Statistical Methodology)
JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology)
SN - 1369-7412
IS - 2
ER -