Dependence properties of multivariate max-stable distributions

Papastathopoulos, Ioannis and Tawn, Jonathan (2014) Dependence properties of multivariate max-stable distributions. Journal of Multivariate Analysis, 130. pp. 134-140. ISSN 0047-259X

Full text not available from this repository.

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.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Multivariate Analysis
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2612
Subjects:
ID Code:
73878
Deposited By:
Deposited On:
18 Jun 2015 05:55
Refereed?:
Yes
Published?:
Published
Last Modified:
28 Oct 2020 10:29