This paper reviews the main probabilistic results on multivariate extremes. Historically, this branch
of probability focussed on the limiting distribution of the componentwise maximum of independent and identically
distributed random vectors. A number of equivalent asymptotic characterizations are available and will be summarized.
Inferential issues arising from the statistical application of classical results are discussed. They motivate the development
of alternative models for multivariate extremes, based on multivariate threshold exceedances, which have received
increasing attention in the literature and will also be reviewed.
%0 Journal Article
%1 Bortot.Gaetan2011
%A Bortot, Paola
%A Gaetan, Carlo
%D 2011
%K Extremes Extremes:multivariate GEV POT spectralMeasure
%T Multivariate extremes
%X This paper reviews the main probabilistic results on multivariate extremes. Historically, this branch
of probability focussed on the limiting distribution of the componentwise maximum of independent and identically
distributed random vectors. A number of equivalent asymptotic characterizations are available and will be summarized.
Inferential issues arising from the statistical application of classical results are discussed. They motivate the development
of alternative models for multivariate extremes, based on multivariate threshold exceedances, which have received
increasing attention in the literature and will also be reviewed.
@article{Bortot.Gaetan2011,
abstract = { This paper reviews the main probabilistic results on multivariate extremes. Historically, this branch
of probability focussed on the limiting distribution of the componentwise maximum of independent and identically
distributed random vectors. A number of equivalent asymptotic characterizations are available and will be summarized.
Inferential issues arising from the statistical application of classical results are discussed. They motivate the development
of alternative models for multivariate extremes, based on multivariate threshold exceedances, which have received
increasing attention in the literature and will also be reviewed.
},
added-at = {2011-09-21T10:32:42.000+0200},
author = {Bortot, Paola and Gaetan, Carlo},
biburl = {https://www.bibsonomy.org/bibtex/295415a4a5b5b832fb39988c4a08586bc/marsianus},
interhash = {4587a2c1cb370df5763aa468f997b357},
intrahash = {95415a4a5b5b832fb39988c4a08586bc},
keywords = {Extremes Extremes:multivariate GEV POT spectralMeasure},
timestamp = {2011-09-21T10:38:00.000+0200},
title = {Multivariate extremes},
year = 2011
}