On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

Michael Falk

Statistics & Probability Letters, 2005, vol. 75, issue 4, 307-314

Abstract: The tail dependence parameter matrix (TDPM) of a rv (X1,...,Xd) has entries , i,j[less-than-or-equals, slant]d, where Fk denotes the distribution function of Xk. We provide an algorithm, which generates (X1,...,Xd) with joint multivariate extreme value distribution and prescribed TDPM.

Keywords: Tail; dependence; parameters; Multivariate; extreme; value; distribution; Multivariate; negative; logistic; distribution (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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