IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v9y1990i1p75-81.html
   My bibliography  Save this article

Families of min-stable multivariate exponential and multivariate extreme value distributions

Author

Listed:
  • Joe, Harry

Abstract

Families of min-stable multivariate exponential and multivariate extreme value distributions are presented. Two families have a representation like the Marshall--Olkin multivariate exponential distribution. A primary application for these distributions is for analyzing multivariate extreme value data, although they may be useable in situations where exponential margins can be assumed.

Suggested Citation

  • Joe, Harry, 1990. "Families of min-stable multivariate exponential and multivariate extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 9(1), pages 75-81, January.
    • Handle: RePEc:eee:stapro:v:9:y:1990:i:1:p:75-81
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-7152(90)90098-R
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cooley, Daniel & Davis, Richard A. & Naveau, Philippe, 2010. "The pairwise beta distribution: A flexible parametric multivariate model for extremes," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2103-2117, October.
    2. Kiriliouk, Anna & Lee, Jeongjin & Segers, Johan, 2023. "X-Vine Models for Multivariate Extremes," LIDAM Discussion Papers ISBA 2023038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Bernhart German & Scherer Matthias & Mai Jan-Frederik, 2015. "On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, May.
    4. Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2017. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2017028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Yun, Seokhoon, 1997. "On Domains of Attraction of Multivariate Extreme Value Distributions under Absolute Continuity," Journal of Multivariate Analysis, Elsevier, vol. 63(2), pages 277-295, November.
    6. Padoan, Simone A., 2011. "Multivariate extreme models based on underlying skew-t and skew-normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 977-991, May.
    7. Mothafer, Ghasak I.M.A. & Yamamoto, Toshiyuki & Shankar, Venkataraman N., 2018. "A multivariate heterogeneous-dispersion count model for asymmetric interdependent freeway crash types," Transportation Research Part B: Methodological, Elsevier, vol. 108(C), pages 84-105.
    8. Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2018. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2018029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Belzile, Léo R. & Nešlehová, Johanna G., 2017. "Extremal attractors of Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 68-92.
    10. Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-12, June.
    11. Wei, Gang & Hu, Taizhong, 2002. "Supermodular dependence ordering on a class of multivariate copulas," Statistics & Probability Letters, Elsevier, vol. 57(4), pages 375-385, May.
    12. Prasert Chaitip & Chukiat Chaiboonsri, 2016. "Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB): the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 6(2), pages 138-155.
    13. Arbia, Giuseppe & Lafratta, Giovanni & Simeoni, Carla, 2007. "Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4069-4082, May.
    14. Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
    15. Boulin, Alexis & Di Bernardino, Elena & Laloë, Thomas & Toulemonde, Gwladys, 2022. "Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    16. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:9:y:1990:i:1:p:75-81. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.