کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5129330 | 1489640 | 2017 | 25 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Extremal attractors of Liouville copulas Extremal attractors of Liouville copulas](/preview/png/5129330.png)
Liouville copulas introduced in McNeil and NeÅ¡lehová (2010) are asymmetric generalizations of the ubiquitous Archimedean copula class. They are the dependence structures of scale mixtures of Dirichlet distributions, also called Liouville distributions. In this paper, the limiting extreme-value attractors of Liouville copulas and of their survival counterparts are derived. The limiting max-stable models, termed here the scaled extremal Dirichlet, are new and encompass several existing classes of multivariate max-stable distributions, including the logistic, negative logistic and extremal Dirichlet. As shown herein, the stable tail dependence function and angular density of the scaled extremal Dirichlet model have a tractable form, which in turn leads to a simple de Haan representation. The latter is used to design efficient algorithms for unconditional simulation based on the work of Dombry et al. (2016) and to derive tractable formulas for maximum-likelihood inference. The scaled extremal Dirichlet model is illustrated on river flow data of the river Isar in southern Germany.
Journal: Journal of Multivariate Analysis - Volume 160, August 2017, Pages 68-92