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Modelling multivariate extreme value distributions
Abstract
Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by Tawn (1988). Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.
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Citations
Cited by
A Conditional Approach for Multivariate Extreme Values (with Discussion)
Heffernan, J. E., & Tawn, J. A. (2004) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.1467-9868.2004.02050.x · Cited by 677
Self-citationAsymptotic efficiency of the two-stage estimation method for copula-based models
Joe, H. (2005) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2004.06.003 · Cited by 602
A review of quantification methodologies for multi-hazard interrelationships
Tilloy, A., Malamud, B. D., Winter, H., & Joly-Laugel, A. (2019) · Earth-Science Reviews · doi:10.1016/j.earscirev.2019.102881 · Cited by 364
Estimating concurrent climate extremes: A conditional approach
Huang, W. K., Monahan, A. H., & Zwiers, F. W. (2021) · Weather and Climate Extremes · doi:10.1016/j.wace.2021.100332 · Cited by 23
Metadata
- Authors
- TAWN, J. A.
- Venue
- Biometrika
- Publisher
- Oxford University Press (OUP)
- Published
- 1990
- Volume
- 77
- Issue
- 2
- Pages
- 245-253
- ISSN
- 0006-3444 (ISSN-L)
- 1464-3510
- OpenAlex
- W2008103017
- Cited by
- 249
- References
- 0
- FWCI
- 3.89
- Type
- journal article
- Language
- en
- Open access
- closed
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- TAWN, J. A. (1990). Modelling multivariate extreme value distributions. Biometrika. https://doi.org/10.1093/biomet/77.2.245
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
