Article
Modelling Extreme Multivariate Events
Address for correspondence: Department of Probability and Statistics, University of Sheffield, Sheffield, S3 7RH, UK.
SUMMARY
The classical treatment of multivariate extreme values is through componentwise ordering, though in practice most interest is in actual extreme events. Here the point process of observations which are extreme in at least one component is considered. Parametric models for the dependence between components must satisfy certain constraints. Two new techniques for generating such models are presented. Aspects of the statistical estimation of the resulting models are discussed and are illustrated with an application to oceanographic data.
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Number of times cited according to CrossRef: 48
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