A conditional approach for multivariate extreme values (with discussion)

By Janet E. Heffernan, Jonathan A. Tawn. 2004

654 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/b8feb14af5a3b08653192963ec5ca98c47d636ab

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Citations in the corpus

Hierarchical modeling for extreme values observed over space and time (2009, background): “more demanding, challenge will take us to bivariate space‐time modeling for precipitation and temperature extremes (see, e.g., Heffernan and Tawn 2003 ).”
Non-Stationary Frequency Analysis of Extreme Water Level: Application of Annual Maximum Series and Peak-over Threshold Approaches (2017, methodology): “It also provides methods for selection of the threshold. texmex (Southworth and Heffernan 2010) implements the conditional multivariate extreme value modeling method of Heffernan and Tawn (2004).”
Models for Dependent Extremes Using Stable Mixtures (2007, background): “However, with the exception of Smith (2004) and Heffernan & Tawn (2004), few applications involving more than two or three dimensions have been reported.”
Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008, background): “Heffernan & Tawn (2004) propose a conditional approach to model multivariate extremes via investigating the limits of normalized conditional distributions.”
Functional peaks‐over‐threshold analysis (2020, methodology): “…both asymptotic independence and asymptotic dependence, can be applied in high dimensions and involves conditioning on the process being extreme at any one of a number of locations, but is based on Heffernan and Tawn (2004) and thus does not construct an overall statistical model for the data.”
Evaluating environmental joint extremes for the offshore industry (2012, methodology): “The conditional extremes model of Heffernan and Tawn (2004) provides a more general framework based on a (more realistic) limit assumption.”
Geostatistics of extremes (2012, background): “The third potential approach, owing to Heffernan & Tawn (2004) and further applied by Butler et al. (2007), relies upon a conditional formulation for rare events.”
Joint modelling of wave spectral parameters for extreme sea states (2010, background): “Further (Heffernan and Tawn 2004), η = (1 + ρ)/2, so that the distribution is asymptotically independent (since η 6= 1 unless ρ=1).”
Limit Laws for Random Vectors with an Extreme Component (2005, methodology): “Section 8 returns in more detail to the modeling assumptions made by Heffernan and Tawn [21] which motivated the work of this paper, and discusses the implications of the new results for their conditional approach to modeling multivariate extreme values.”
Geostatistics of Dependent and Asymptotically Independent Extremes (2013, methodology): “Following its introduction by Heffernan and Tawn (2004), this approach has been developed from the theoretical viewpoint by Heffernan and Resnick (2007), Das and Resnick (2011), and Fougères and Soulier (2012), among others, and has been applied to spatial flood estimation by Keef et al. (2009,…”
Variograms for spatial max-stable random fields (2006, background): “[ HT04 ]), but there has been a growing interest in the analysis of spatial extremes in recent years.”