Dense classes of multivariate extreme value distributions

John Nolan

American University CAS- Math and Statistics

Local: ZOOM – Link

Seminário conjunto CEAUL & CEMAT

17 Novembro 2021 (4.ª feira) – 17h:00m


We explore tail dependence modeling in multivariate extreme value distributions through the use of the scale function. The correspondences between the scale function and the spectral measure or the stable tail dependence function are given. Combining scale functions by simple operations, semi-parametric classes of laws are described and analyzed, and resulting nested and structured models are discussed. Finally, the denseness of each of these classes is shown. Joint work with Anne-Laure Fougeres and Cecile Mercadier at the University of Lyon.