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Dependence properties of multivariate max-stable distributions

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Dependence properties of multivariate max-stable distributions. / Papastathopoulos, Ioannis; Tawn, Jonathan.

In: Journal of Multivariate Analysis, Vol. 130, 09.2014, p. 134-140.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Papastathopoulos, I & Tawn, J 2014, 'Dependence properties of multivariate max-stable distributions', Journal of Multivariate Analysis, vol. 130, pp. 134-140. https://doi.org/10.1016/j.jmva.2014.05.001

APA

Papastathopoulos, I., & Tawn, J. (2014). Dependence properties of multivariate max-stable distributions. Journal of Multivariate Analysis, 130, 134-140. https://doi.org/10.1016/j.jmva.2014.05.001

Vancouver

Papastathopoulos I, Tawn J. Dependence properties of multivariate max-stable distributions. Journal of Multivariate Analysis. 2014 Sep;130:134-140. Epub 2014 May 14. doi: 10.1016/j.jmva.2014.05.001

Author

Papastathopoulos, Ioannis ; Tawn, Jonathan. / Dependence properties of multivariate max-stable distributions. In: Journal of Multivariate Analysis. 2014 ; Vol. 130. pp. 134-140.

Bibtex

@article{09ab57e3f88347a3bfcd0c2623934aa6,
title = "Dependence properties of multivariate max-stable distributions",
abstract = "For an m-dimensional multivariate extreme value distribution there exist 2m−1 exponent measures which are linked and completely characterise the dependence of the distribution and all of its lower dimensional margins. In this paper we generalise the inequalities of Schlather and Tawn (2002) for the sets of extremal coefficients and construct bounds that higher order exponent measures need to satisfy to be consistent with lower order exponent measures. Subsequently we construct nonparametric estimators of the exponent measures which impose, through a likelihood-based procedure, the new dependence constraints and provide an improvement on the unconstrained estimators.",
keywords = "Max-stable distributions, Multivariate extremes, Exponent measure, Inequalities, Constrained estimators",
author = "Ioannis Papastathopoulos and Jonathan Tawn",
year = "2014",
month = sep,
doi = "10.1016/j.jmva.2014.05.001",
language = "English",
volume = "130",
pages = "134--140",
journal = "Journal of Multivariate Analysis",
issn = "0047-259X",
publisher = "Academic Press Inc.",

}

RIS

TY - JOUR

T1 - Dependence properties of multivariate max-stable distributions

AU - Papastathopoulos, Ioannis

AU - Tawn, Jonathan

PY - 2014/9

Y1 - 2014/9

N2 - For an m-dimensional multivariate extreme value distribution there exist 2m−1 exponent measures which are linked and completely characterise the dependence of the distribution and all of its lower dimensional margins. In this paper we generalise the inequalities of Schlather and Tawn (2002) for the sets of extremal coefficients and construct bounds that higher order exponent measures need to satisfy to be consistent with lower order exponent measures. Subsequently we construct nonparametric estimators of the exponent measures which impose, through a likelihood-based procedure, the new dependence constraints and provide an improvement on the unconstrained estimators.

AB - For an m-dimensional multivariate extreme value distribution there exist 2m−1 exponent measures which are linked and completely characterise the dependence of the distribution and all of its lower dimensional margins. In this paper we generalise the inequalities of Schlather and Tawn (2002) for the sets of extremal coefficients and construct bounds that higher order exponent measures need to satisfy to be consistent with lower order exponent measures. Subsequently we construct nonparametric estimators of the exponent measures which impose, through a likelihood-based procedure, the new dependence constraints and provide an improvement on the unconstrained estimators.

KW - Max-stable distributions

KW - Multivariate extremes

KW - Exponent measure

KW - Inequalities

KW - Constrained estimators

U2 - 10.1016/j.jmva.2014.05.001

DO - 10.1016/j.jmva.2014.05.001

M3 - Journal article

VL - 130

SP - 134

EP - 140

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

SN - 0047-259X

ER -