期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 101, 期 9, 页码 2103-2117出版社
ELSEVIER INC
DOI: 10.1016/j.jmva.2010.04.007
关键词
Angular measure; Spectral measure; Multivariate regular variation; Threshold exceedances
资金
- National Science Foundation [DMS 0905315, DMS-0743459]
- Colorado State University (NSF-IGERT) [DGE-0221595]
- National Center for Atmospheric Research (NSF) [DMS-03055474]
- FP7-ACQWA
- GIS-PEPER
- ANR-MOPERA
- ANR-AssimilEx
- Direct For Mathematical & Physical Scien
- Division Of Mathematical Sciences [0905315] Funding Source: National Science Foundation
We present a new parametric model for the angular measure of a multivariate extreme value distribution. Unlike many parametric models that are limited to the bivariate case, the flexible model can describe the extremes of random vectors of dimension greater than two. The novel construction method relies on a geometric interpretation of the requirements of a valid angular measure. An advantage of this model is that its parameters directly affect the level of dependence between each pair of components of the random vector, and as such the parameters of the model are more interpretable than those of earlier parametric models for multivariate extremes. The model is applied to air quality data and simulated spatial data. (c) 2010 Elsevier Inc. All rights reserved.
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