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On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

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  • Falk, Michael

Abstract

The tail dependence parameter matrix (TDPM) of a rv (X1,...,Xd) has entries , i,j[less-than-or-equals, slant]d, where Fk denotes the distribution function of Xk. We provide an algorithm, which generates (X1,...,Xd) with joint multivariate extreme value distribution and prescribed TDPM.

Suggested Citation

  • Falk, Michael, 2005. "On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix," Statistics & Probability Letters, Elsevier, vol. 75(4), pages 307-314, December.
    • Handle: RePEc:eee:stapro:v:75:y:2005:i:4:p:307-314
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    References listed on IDEAS

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    1. H. A. Hauksson & M. Dacorogna & T. Domenig & U. Mller & G. Samorodnitsky, 2001. "Multivariate extremes, aggregation and risk estimation," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 79-95.
    2. Falk, Michael & Reiss, Rolf-Dieter, 2005. "On Pickands coordinates in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 426-453, February.
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    Cited by:

    1. Gissibl, Nadine & Klüppelberg, Claudia & Otto, Moritz, 2018. "Tail dependence of recursive max-linear models with regularly varying noise variables," Econometrics and Statistics, Elsevier, vol. 6(C), pages 149-167.

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