A construction principle for multivariate extreme value distributions

F. Ballani and M. Schlather

Biometrika, 2011, vol. 98, issue 3, 633-645

Abstract: We present a construction principle for the spectral density of a multivariate extreme value distribution. It generalizes the pairwise beta model introduced in the literature recently and may be used to obtain new parametric models from lower dimensional spectral densities. We illustrate the flexibility of this new class of models and apply it to a wind speed dataset. Copyright 2011, Oxford University Press.

Date: 2011
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