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research article
Multivariate extreme models based on underlying skew-t and skew-normal distributions
We derive for the first time the limiting distribution of maxima of skew-t random vectors and we show that its limiting case, as the degree of freedom goes to infinity, is the skewed version of the well-known FlOsler-Reiss model. The advantage of the new families of models is that they are particularly flexible, allowing for both symmetric and asymmetric dependence structures and permitting the modelling of multivariate extremes with dimensions greater than two. (C) 2011 Elsevier Inc. All rights reserved.
Type
research article
Web of Science ID
WOS:000288822000010
Authors
Publication date
2011
Published in
Volume
102
Start page
977
End page
991
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
December 16, 2011
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