76 search results - page 1 / 16 » Simulation of Multivariate Extreme Values |
WSC
1997
13 years 5 months ago
1997
A comprehensive method for simulation of bivariate extremes is introduced and a generalisation of it to multivariate extremes is outlined.
MA
2010
Springer
13 years 2 months ago
2010
Springer
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 ï...
CSDA
2006
13 years 4 months ago
2006
It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, ...
IOR
2008
13 years 4 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
SIGMOD
2006
ACM
14 years 4 months ago
2006
ACM
Monitoring extreme values (MAX or MIN) is a fundamental problem in wireless sensor networks (and in general, complex dynamic systems). This problem presents very different algorit...