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Ordered multivariate extremes
Author(s) -
Nadarajah S.,
Anderson C. W.,
Tawn J. A.
Publication year - 1998
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00136
Subject(s) - multivariate statistics , extreme value theory , multivariate analysis , series (stratigraphy) , statistics , econometrics , mathematics , generalized extreme value distribution , climatology , geology , paleontology
Multivariate extreme value models and associated statistical methods are developed for vector observations whose components are subject to an order restriction. The approach extends the multivariate threshold methodology of Coles and Tawn, Joe and co‐workers and Smith and co‐workers. The results are illustrated by an analysis of extreme rainfalls of different durations, and by a study of the problem of linking a long series of daily rainfall extremes with a partially overlapping shorter series of hourly extremes.