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EnglishExtreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high dimensional by nature. For this purpose, probabilistic models and statistical methods are in high demand. We describe an approach for deriving multivariate extreme value models and we illustrate the main features of some flexible extremal dependence models. We compare them by showing their utility with a real data application, in particular analyzing the extremal dependence among several pollutants recorded in the city of Leeds, UK.
http://hdl.handle.net/11565/3934518| Titolo: | Extreme dependence models |
| Data di pubblicazione: | 2015 |
| Autori interni: | PADOAN, SIMONE |
| Autori: | Beranger, Boris; Padoan, Simone |
| Titolo del libro: | Extreme value modeling and risk analysis: methods and applications |
| Tutti i curatori: | Dey, Dipak K.; Yan, Jun |
| ISBN: | 9781498701297 9781498701310 (e-ISBN) |
| Abstract: | Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high dimensional by nature. For this purpose, probabilistic models and statistical methods are in high demand. We describe an approach for deriving multivariate extreme value models and we illustrate the main features of some flexible extremal dependence models. We compare them by showing their utility with a real data application, in particular analyzing the extremal dependence among several pollutants recorded in the city of Leeds, UK. |
| Appare nelle tipologie: | 20 - Contributo in volume Capitolo o Saggio Scientifico |
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| chapter16.pdf | Book chapter | 3.48 MB | Adobe PDF | Post-print | Administrator Richiedi una copia |
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