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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.

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