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Modelling multivariate extreme value distributions. (English) Zbl 0716.62051
Summary: Multivariate extreme value distributions arise as the limiting joint distribution of normalized componentwise maxima/minima. No parametric family exists for the dependence between the margins. This paper extends to more than two variables the models and results for the bivariate case obtained by the author [ibid. 75, No.3, 397-415 (1988; Zbl 0653.62045)]. Two new families of physically motivated parametric models for the dependence structure are presented and are illustrated with an application to trivariate extreme sea level data.

62H05 Characterization and structure theory for multivariate probability distributions; copulas
62H10 Multivariate distribution of statistics
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