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2010
Springer

The pairwise beta distribution: A flexible parametric multivariate model for extremes

9 years 5 months ago
The pairwise beta distribution: A flexible parametric multivariate model for extremes
We present a new parametric model for the angular measure of a multivariate extreme value distribution. Unlike many parametric models that are limited to the bivariate case, the flexible model can describe the extremes of random vectors of dimension greater than two. The novel construction method relies on a geometric interpretation of the requirements of a valid angular measure. An advantage of this model is that its parameters directly affect the level of dependence between each pair of components of the random vector, and as such the parameters of the model are more interpretable than those of earlier parametric models for multivariate extremes. The model is applied to air quality data and simulated spatial data.
Daniel Cooley, Richard A. Davis, Philippe Naveau
Added 29 Jan 2011
Updated 29 Jan 2011
Type Journal
Year 2010
Where MA
Authors Daniel Cooley, Richard A. Davis, Philippe Naveau
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