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Dense classes of multivariate extreme value distributions

Abstract : In this paper, we explore tail dependence modelling in multivariate extreme value distributions. The measure of dependence chosen is the scale function, which allows combinations of distributions in a very flexible way. The correspondences between the scale function and the spectral measure or the stable tail dependence function are given. Combining scale functions by simple operations, three parametric classes of laws are (re)constructed and analyzed, and resulting nested and structured models are discussed. Finally, the denseness of each of these classes is shown.
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Submitted on : Friday, November 16, 2012 - 11:20:21 AM
Last modification on : Monday, June 28, 2021 - 2:26:07 PM
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Anne-Laure Fougères, Cécile Mercadier, John Nolan. Dense classes of multivariate extreme value distributions. Journal of Multivariate Analysis, Elsevier, 2013, 116, pp.109-129. ⟨10.1016/j.jmva.2012.11.015⟩. ⟨hal-00713516v2⟩



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