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Statistical Methods for Multivariate Extremes: An Application to Structural Design

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Cited by:

  1. Brendan Bradley & Murad Taqqu, 2004. "Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 619-636.
  2. Nadarajah, S., 1999. "A polynomial model for bivariate extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 15-25, March.
  3. Keef, Caroline & Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 396-404.
  4. Stan Tendijck & Philip Jonathan & David Randell & Jonathan Tawn, 2024. "Temporal evolution of the extreme excursions of multivariate k$$ k $$th order Markov processes with application to oceanographic data," Environmetrics, John Wiley & Sons, Ltd., vol. 35(3), May.
  5. 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.
  6. Prasert Chaitip & Chukiat Chaiboonsri, 2016. "Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB): the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 6(2), pages 138-155.
  7. Zhengjun Zhang, 2008. "The estimation of M4 processes with geometric moving patterns," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 60(1), pages 121-150, March.
  8. Sheng Yue, 2000. "The Gumbel Mixed Model Applied to Storm Frequency Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 14(5), pages 377-389, October.
  9. Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
  10. F. Laurini & J. A. Tawn, 2006. "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers 2006-SE01, Department of Economics, Parma University (Italy).
  11. Gaidai, Oleg & Xu, Xiaosen & Wang, Junlei & Ye, Renchuan & Cheng, Yong & Karpa, Oleh, 2020. "SEM-REV offshore energy site wind-wave bivariate statistics by hindcast," Renewable Energy, Elsevier, vol. 156(C), pages 689-695.
  12. D. J. Rasmussen & Scott Kulp & Robert E. Kopp & Michael Oppenheimer & Benjamin H. Strauss, 2022. "Popular extreme sea level metrics can better communicate impacts," Climatic Change, Springer, vol. 170(3), pages 1-17, February.
  13. Singh, Abhay K. & Allen, David E. & Robert, Powell J., 2013. "Extreme market risk and extreme value theory," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 310-328.
  14. Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
  15. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
  16. Khader Khadraoui & Pierre Ribereau, 2019. "Bayesian Inference with M-splines on Spectral Measure of Bivariate Extremes," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 765-788, September.
  17. Arbia, Giuseppe & Lafratta, Giovanni & Simeoni, Carla, 2007. "Spatial sampling plans to monitor the 3-D spatial distribution of extremes in soil pollution surveys," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4069-4082, May.
  18. Di Bernardino, Elena & Maume-Deschamps, Véronique & Prieur, Clémentine, 2013. "Estimating a bivariate tail: A copula based approach," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 81-100.
  19. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
  20. Richards, Jordan & Tawn, Jonathan A., 2022. "On the tail behaviour of aggregated random variables," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  21. Raphaël de Fondeville & Anthony C. Davison, 2022. "Functional peaks‐over‐threshold analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1392-1422, September.
  22. Simpson, Emma S. & Wadsworth, Jennifer L. & Tawn, Jonathan A., 2021. "A geometric investigation into the tail dependence of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  23. Lee, J. & Fan, Y. & Sisson, S.A., 2015. "Bayesian threshold selection for extremal models using measures of surprise," Computational Statistics & Data Analysis, Elsevier, vol. 85(C), pages 84-99.
  24. Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 151-162, June.
  25. Daoji Shi & Shengsheng Zhou, 1999. "Moment Estimation for Multivariate Extreme Value Distribution in a Nested Logistic Model," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(2), pages 253-264, June.
  26. Liu, Y. & Tawn, J.A., 2014. "Self-consistent estimation of conditional multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 19-35.
  27. de Valk, Cees, 2016. "A large deviations approach to the statistics of extreme events," Other publications TiSEM 117b3ba0-0e40-4277-b25e-d, Tilburg University, School of Economics and Management.
  28. Brook T. Russell & Whitney K. Huang, 2021. "Modeling short‐ranged dependence in block extrema with application to polar temperature data," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
  29. Denault, Michel & Dupuis, Debbie & Couture-Cardinal, Sébastien, 2009. "Complementarity of hydro and wind power: Improving the risk profile of energy inflows," Energy Policy, Elsevier, vol. 37(12), pages 5376-5384, December.
  30. Juan Gonzalez & Daniela Rodriguez & Mariela Sued, 2013. "Threshold selection for extremes under a semiparametric model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 481-500, November.
  31. Sasikumar Padmini Arun & Christophe Chesneau & Radhakumari Maya & Muhammed Rasheed Irshad, 2023. "Farlie–Gumbel–Morgenstern Bivariate Moment Exponential Distribution and Its Inferences Based on Concomitants of Order Statistics," Stats, MDPI, vol. 6(1), pages 1-15, February.
  32. Clémençon, Stephan & Huet, Nathan & Sabourin, Anne, 2024. "Regular variation in Hilbert spaces and principal component analysis for functional extremes," Stochastic Processes and their Applications, Elsevier, vol. 174(C).
  33. Chung-Chu Chuang & Yu-Chieh Tang, 2015. "Asymmetric Dependence between Efficiency and Market Power in the Taiwanese Life Insurance Industry," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(4), pages 511-525, September.
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