Fabrizio Durante, Gianfausto Salvadori,
"On the construction of multivariate extreme value models via copulas"
, in Environmetrics, Vol. 21, Nummer 2, Seite(n) 143-162, 2010, ISSN: 1099-095X, DOI: 10.1002/env.988
Original Titel:
On the construction of multivariate extreme value models via copulas
Sprache des Titels:
Englisch
Englische Kurzfassung:
Copulas represent a fundamental tool for constructing multivariate probability distributions. Exploiting recent theoretical
developments concerning the construction of copulas, we outline several methods for generating multivariate
extreme value (MEV) laws having a suitable number of parameters, a feature of great importance in applications.
The corresponding random vectors can be efficiently simulated, and easily fitted to empirical data. The use of
multivariate return periods for extreme events is also discussed. A practical illustration involving maxima sampled
via a network of non-independent gauge stations is presented.