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A polynomial model for bivariate extreme value distributions

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  • Nadarajah, S.

Abstract

Many of the currently known models for bivariate (multivariate) extreme value distributions are too restrictive. This paper introduces a new model based on polynomial terms that overcomes most weaknesses of the known models. The simplicity and flexibility of the new model are shown by derivation of various distributional properties and application to real data.

Suggested Citation

  • Nadarajah, S., 1999. "A polynomial model for bivariate extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 15-25, March.
    • Handle: RePEc:eee:stapro:v:42:y:1999:i:1:p:15-25
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    References listed on IDEAS

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    1. Stuart G. Coles & Jonathan A. Tawn, 1994. "Statistical Methods for Multivariate Extremes: An Application to Structural Design," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 43(1), pages 1-31, March.
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    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. Nadarajah, Saralees, 2013. "Expansions for bivariate extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 744-752.
    3. M. Ghil & Pascal Yiou & Stéphane Hallegatte & B. D. Malamud & P. Naveau & A. Soloviev & P. Friederichs & V. Keilis-Borok & D. Kondrashov & V. Kossobokov & O. Mestre & C. Nicolis & H. W. Rust & P. Sheb, 2011. "Extreme events: dynamics, statistics and prediction," Post-Print hal-00716514, HAL.

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