Modelling multivariate extreme value distributions

Tawn, Jonathan A. (1990) Modelling multivariate extreme value distributions. Biometrika, 77 (2). pp. 245-253. ISSN 0006-3444

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.