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Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions

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  • Alexis Bienvenüe
  • Christian Y. Robert

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  • Alexis Bienvenüe & Christian Y. Robert, 2017. "Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(1), pages 130-149, March.
    • Handle: RePEc:bla:scjsta:v:44:y:2017:i:1:p:130-149
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    References listed on IDEAS

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    1. Jennifer L. Wadsworth, 2015. "On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions," Biometrika, Biometrika Trust, vol. 102(3), pages 705-711.
    2. Alec Stephenson & Jonathan Tawn, 2005. "Exploiting occurrence times in likelihood inference for componentwise maxima," Biometrika, Biometrika Trust, vol. 92(1), pages 213-227, March.
    3. Marc G. Genton & Yanyuan Ma & Huiyan Sang, 2011. "On the likelihood function of Gaussian max-stable processes," Biometrika, Biometrika Trust, vol. 98(2), pages 481-488.
    4. R. Huser & A. C. Davison, 2013. "Composite likelihood estimation for the Brown--Resnick process," Biometrika, Biometrika Trust, vol. 100(2), pages 511-518.
    5. Jennifer L. Wadsworth & Jonathan A. Tawn, 2014. "Efficient inference for spatial extreme value processes associated to log-Gaussian random functions," Biometrika, Biometrika Trust, vol. 101(1), pages 1-15.
    6. Padoan, S. A. & Ribatet, M. & Sisson, S. A., 2010. "Likelihood-Based Inference for Max-Stable Processes," Journal of the American Statistical Association, American Statistical Association, vol. 105(489), pages 263-277.
    7. D. R. Cox, 2004. "A note on pseudolikelihood constructed from marginal densities," Biometrika, Biometrika Trust, vol. 91(3), pages 729-737, September.
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