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.

Extreme dependence models

PADOAN, SIMONE
2015

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.
2015
9781498701297
9781498701310 (e-ISBN)
Dey, Dipak K.; Yan, Jun
Extreme value modeling and risk analysis: methods and applications
Beranger, Boris; Padoan, Simone
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3934518
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