A mixture model for multivariate extremes

By Marc-Olivier Boldi, A. C. Davison. 2007

110 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f45d284d1f7c681d662302d7a515b1835d0155d1

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Citations in the corpus

MAX-STABLE MODELS FOR MULTIVARIATE EXTREMES (2012, background): “he overviews in Kotz and Nadarajah (2000) and Beirlant et al. (2004). In a search for ﬂexible models in large dimensions, new families are still being constructed, as in Ballani and Schlather (2011), Boldi and Davison (2007), Cooley et al. (2010) and Foug`eres et al. (2009). In this section, a simpl”
Bayesian composite marginal likelihoods (2011, methodology): “Extremes of pollutant concentrations in Leeds city centre were also analyzed by Boldi and Davison (2007) and Heffernan and Tawn (2004), although with a different model and referring to a different time period.”
Spectral Density Ratio Models for Multivariate Extremes (2014, background): “Boldi and Davison (2007) introduced a constrained mixture of Dirichlet distributions which is weakly dense in the class of all possible spectral measures (see also Sabourin and Naveau 2013), and Einmahl and Segers (2009) proposed a nonparametric estimator that imposes the marginal constraints using…”
Likelihood estimators for multivariate extremes (2014, methodology): “Classical inference relies on parametric families of exponent measures (see, e.g., Tawn, 1988; Hüsler and Reiss, 1989; Joe, 1990; Coles and Tawn, 1991; Joe et al, 1992; Boldi and Davison, 2007; Ballani and Schlather, 2011; Segers, 2012; Sabourin and Naveau, 2014), and this section describes a well-e”
Dimension reduction in multivariate extreme value analysis (2015, background): “Bayesian models have also flourished (Boldi and Davison, 2007; Guillotte et al., 2011), in which vein Sabourin and Naveau (2014) recently proposed a novel algorithm that handles moderate dimensions.”
Estimation of Hüsler–Reiss distributions and Brown–Resnick processes (2012, background): “…approach generalizes classical multivariate regular variation and was introduced by Heffernan and Tawn (2004) and further investigated by several researchers (see Hashorva (2006), Balkema and Embrechts (2007), Heffernan and Resnick (2007), Fougères and Soulier (2010) and Das and Resnick (2011)).”
Extreme-value copulas (2009, background): “See for instance [5, 13, 49, 24, 59, 60, 61, 63] for some (semi-)parametric approaches and [1, 6, 23, 22, 25, 81] for some nonparametric ones.”
Learning Connections in Financial Time Series (2013, methodology): “Arnold et al. (2007) examines a host of algorithms that, loosely speaking, fall under the category of graphical Granger methods to quantify the connectedness in time series.”
Statistical Modeling of Spatial Extremes (2012, background): “…(Kotz and Nadarajah (2000), Section 3.5), those in current use tend to be somewhat inflexible, and, owing to the curse of dimensionality, nonparametric estimation has essentially been confined to the bivariate case (Fougères (2004); Boldi and Davison (2007); Einmahl and Segers (2009)).”