Simulation of multivariate extreme values
نویسندگان
چکیده
منابع مشابه
A conditional approach for multivariate extreme values
Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable. Existing approaches are based on limiting arguments in which all components of the variable become large at the same rate.This limit approach is inappropriate when the extreme values of all the variables are unlikely t...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 1999
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949659908811942