On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

2005 ◽  
Vol 75 (4) ◽  
pp. 307-314 ◽  
Author(s):  
Michael Falk
Keyword(s):  
Tail Dependence ◽  
Extreme Value Distribution ◽  
Extreme Value ◽  
Value Distribution ◽  
Multivariate Extreme Value Distribution ◽  
Parameter Matrix ◽  
Multivariate Extreme Value

scholarly journals Characterizations of a multivariate extreme value distribution

1988 ◽  
Vol 20 (01) ◽  
pp. 235-236 ◽  
Author(s):  
Rinya Takahashi
Keyword(s):  
Extreme Value Distribution ◽  
Extreme Value ◽  
Value Distribution ◽  
Multivariate Extreme Value Distribution ◽  
Multivariate Extreme Value

Characterizations of a multivariate extreme value distribution in terms of its marginals are established.

scholarly journals Characterizations of a multivariate extreme value distribution

1988 ◽  
Vol 20 (1) ◽  
pp. 235-236 ◽  
Author(s):  
Rinya Takahashi
Keyword(s):  
Extreme Value Distribution ◽  
Extreme Value ◽  
Value Distribution ◽  
Multivariate Extreme Value Distribution ◽  
Multivariate Extreme Value

Characterizations of a multivariate extreme value distribution in terms of its marginals are established.

scholarly journals A note on the independence and total dependence of max i.d. distributions

1989 ◽  
Vol 21 (1) ◽  
pp. 231-232 ◽  
Author(s):  
J. Hüsler
Keyword(s):  
Extreme Value Distribution ◽  
Extreme Value ◽  
Value Distribution ◽  
Multivariate Extreme Value Distribution ◽  
Infinitely Divisible ◽  
Total Dependence ◽  
Multivariate Extreme Value

We show that the simple characterizations given by Takahashi for the independence and the total dependence of a multivariate extreme value distribution do not hold for the larger class of maximum infinitely divisible (max i.d.) distributions. This holds also for sup self-decomposable distributions.

scholarly journals A note on the independence and total dependence of max i.d. distributions

1989 ◽  
Vol 21 (01) ◽  
pp. 231-232
Author(s):  
J. Hüsler
Keyword(s):  
Extreme Value Distribution ◽  
Extreme Value ◽  
Value Distribution ◽  
Multivariate Extreme Value Distribution ◽  
Infinitely Divisible ◽  
Total Dependence ◽  
Multivariate Extreme Value

We show that the simple characterizations given by Takahashi for the independence and the total dependence of a multivariate extreme value distribution do not hold for the larger class of maximum infinitely divisible (max i.d.) distributions. This holds also for sup self-decomposable distributions.

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