Dense classes of multivariate extreme value distributions
17/11/2021 Wednesday 17th November 2021, 17:00 ()
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John Nolan, American University CAS Math and Statistics
We explore tail dependence modeling in multivariate extreme value distributions through the use of the scale function. The correspondences between the scale function and the spectral measure or the stable tail dependence function are given. Combining scale functions by simple operations, semiparametric classes of laws are described and analyzed, and resulting nested and structured models are discussed. Finally, the denseness of each of these classes is shown. Joint work with AnneLaure Fougeres and Cecile Mercadier at the University of Lyon.
