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Modelling multivariate extreme value distributions

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Modelling multivariate extreme value distributions. / Tawn, Jonathan A.
In: Biometrika, Vol. 77, No. 2, 30.06.1990, p. 245-253.

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

Harvard

Tawn, JA 1990, 'Modelling multivariate extreme value distributions', Biometrika, vol. 77, no. 2, pp. 245-253. https://doi.org/10.1093/biomet/77.2.245

APA

Tawn, J. A. (1990). Modelling multivariate extreme value distributions. Biometrika, 77(2), 245-253. https://doi.org/10.1093/biomet/77.2.245

Vancouver

Tawn JA. Modelling multivariate extreme value distributions. Biometrika. 1990 Jun 30;77(2):245-253. doi: 10.1093/biomet/77.2.245

Author

Tawn, Jonathan A. / Modelling multivariate extreme value distributions. In: Biometrika. 1990 ; Vol. 77, No. 2. pp. 245-253.

Bibtex

@article{289d338398704ff2b277ceed0573560b,
title = "Modelling multivariate extreme value distributions",
abstract = "Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by Tawn (1988). Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.",
keywords = "Extreme value theory, Generalized Pareto distribution, Multivariate exponential distribution, Nonregular estimation",
author = "Tawn, {Jonathan A.}",
year = "1990",
month = jun,
day = "30",
doi = "10.1093/biomet/77.2.245",
language = "English",
volume = "77",
pages = "245--253",
journal = "Biometrika",
issn = "0006-3444",
publisher = "Oxford University Press",
number = "2",

}

RIS

TY - JOUR

T1 - Modelling multivariate extreme value distributions

AU - Tawn, Jonathan A.

PY - 1990/6/30

Y1 - 1990/6/30

N2 - Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by Tawn (1988). Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.

AB - Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by Tawn (1988). Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.

KW - Extreme value theory

KW - Generalized Pareto distribution

KW - Multivariate exponential distribution

KW - Nonregular estimation

U2 - 10.1093/biomet/77.2.245

DO - 10.1093/biomet/77.2.245

M3 - Journal article

AN - SCOPUS:0001032278

VL - 77

SP - 245

EP - 253

JO - Biometrika

JF - Biometrika

SN - 0006-3444

IS - 2

ER -