Estimating strategies for multiparameter Multivariate Extreme Value copulas

Multivariate Extreme Value models are a fundamental tool in order to assess potentially dangerous events. Exploiting recent theoretical developments in the theory of Copulas, new multiparameter models can be easily constructed. In this paper we suggest several strategies in order to estimate the par...

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Detalles Bibliográficos
Main Authors: G. Salvadori, C. De Michele
Formato: Artigo
Idioma:English
Publicado: Copernicus Publications 2011-01-01
Series:Hydrology and Earth System Sciences
Acceso en liña:http://www.hydrol-earth-syst-sci.net/15/141/2011/hess-15-141-2011.pdf