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Bivariate extreme value theory: Models and estimation

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Bivariate extreme value theory: Models and estimation. / Tawn, Jonathan A.
In: Biometrika, Vol. 75, No. 3, 01.09.1988, p. 397-415.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Tawn, JA 1988, 'Bivariate extreme value theory: Models and estimation', Biometrika, vol. 75, no. 3, pp. 397-415. https://doi.org/10.1093/biomet/75.3.397

APA

Tawn, J. A. (1988). Bivariate extreme value theory: Models and estimation. Biometrika, 75(3), 397-415. https://doi.org/10.1093/biomet/75.3.397

Vancouver

Tawn JA. Bivariate extreme value theory: Models and estimation. Biometrika. 1988 Sept 1;75(3):397-415. doi: 10.1093/biomet/75.3.397

Author

Tawn, Jonathan A. / Bivariate extreme value theory : Models and estimation. In: Biometrika. 1988 ; Vol. 75, No. 3. pp. 397-415.

Bibtex

@article{82c3619b3b42456d80cedaaf2bdaee4e,
title = "Bivariate extreme value theory: Models and estimation",
abstract = "Bivariate extreme value distributions arise as the limiting distributions of renormalized componentwise maxima. No natural parametric family exists for the dependence between the marginal distributions, but there are considerable restrictions on the dependence structure. We consider modelling the dependence function with parametric models, for which two new models are presented. Tests for independence, and discriminating between models, are also given. The estimation procedure, and the flexibility of the new models, are illustrated with an application to sea level data.",
keywords = "Bivariate exponential distribution, Extreme value theory, Maximum likelihood, Nonregular estimation, Stable distribution, Survival data",
author = "Tawn, {Jonathan A.}",
year = "1988",
month = sep,
day = "1",
doi = "10.1093/biomet/75.3.397",
language = "English",
volume = "75",
pages = "397--415",
journal = "Biometrika",
issn = "0006-3444",
publisher = "Oxford University Press",
number = "3",

}

RIS

TY - JOUR

T1 - Bivariate extreme value theory

T2 - Models and estimation

AU - Tawn, Jonathan A.

PY - 1988/9/1

Y1 - 1988/9/1

N2 - Bivariate extreme value distributions arise as the limiting distributions of renormalized componentwise maxima. No natural parametric family exists for the dependence between the marginal distributions, but there are considerable restrictions on the dependence structure. We consider modelling the dependence function with parametric models, for which two new models are presented. Tests for independence, and discriminating between models, are also given. The estimation procedure, and the flexibility of the new models, are illustrated with an application to sea level data.

AB - Bivariate extreme value distributions arise as the limiting distributions of renormalized componentwise maxima. No natural parametric family exists for the dependence between the marginal distributions, but there are considerable restrictions on the dependence structure. We consider modelling the dependence function with parametric models, for which two new models are presented. Tests for independence, and discriminating between models, are also given. The estimation procedure, and the flexibility of the new models, are illustrated with an application to sea level data.

KW - Bivariate exponential distribution

KW - Extreme value theory

KW - Maximum likelihood

KW - Nonregular estimation

KW - Stable distribution

KW - Survival data

U2 - 10.1093/biomet/75.3.397

DO - 10.1093/biomet/75.3.397

M3 - Journal article

AN - SCOPUS:0001423124

VL - 75

SP - 397

EP - 415

JO - Biometrika

JF - Biometrika

SN - 0006-3444

IS - 3

ER -