An offspring of multivariate extreme value theory: the max-characteristic function

QR Code

An offspring of multivariate extreme value theory: the max-characteristic function

This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vector in Rd, whose components are nonnegative and have finite expectation. Pointwise convergence of max-CFs is shown to be e...

Full description

Bibliographic Details
Main Authors:	Falk, Michael, Stupfler, Gilles
Format:	Article
Published:	Elsevier 2017
Subjects:	Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence
Online Access:	https://eprints.nottingham.ac.uk/43808/

Similar Items

On the study of extremes with dependent random right-censoring
by: Stupfler, Gilles
Published: (2019)

Estimation of tail risk based on extreme expectiles
by: Daouia, Abdelaati, et al.
Published: (2017)

An integrated functional Weissman estimator for conditional extreme quantiles
by: Gardes, Laurent, et al.
Published: (2017)

GARCH dependence in extreme value models with Bayesian inference
by: Zhao, X., et al.
Published: (2011)

Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions
by: El Methni, Jonathan, et al.
Published: (2018)

Modified boxplot and stairboxplot for generalized extreme value distribution
by: Babura, Babangida Ibrahim
Published: (2017)

Contributions to Stein's method on Riemannian manifolds
by: Lewis, Alexander
Published: (2023)

Fixed point for derivative and differentiation of single-valued and set-valued functions on metric spaces
by: Muslikh, Mohamad
Published: (2019)

Extreme M-quantiles as risk measures: from L1 to Lp optimization
by: Daouia, Abdelaati, et al.
Published: (2019)

Functional data analysis for extreme data
by: Mohamad Adnan, Noor Izyan, et al.
Published: (2016)

Goodness-of-fit tests for extreme value distributions
by: Zainal Abidin, Nahdiya
Published: (2013)

Applying partial differential equations on networks to approximate the Max-Cut and Max-K-Cut problems
by: Keetch, Blaine
Published: (2020)

Manifold-valued data analysis of networks and shapes
by: Severn, Katie
Published: (2020)

Max access
Published: (2008)

An examination of selected upper extremity functional activity from the perspective of the dynamic pattern theory of motor control.
by: Ratanapinunchai, Jonjin
Published: (1996)

An Ordered Generalised Extreme Value Model with Application to Alcohol Consumption in Australia
by: Harris, Mark, et al.
Published: (2006)

Extremal problems and designs on finite sets.
by: Roberts, Ian T.
Published: (1999)

Kinetics of Phase Decomposition in MAX Phases - A Comparative Diffraction Study
by: Low, It-Meng (Jim), et al.
Published: (2011)

Extreme air pollutant data analysis using classical and Bayesian approaches
by: Mohd Amin, Nor Azrita
Published: (2015)

Convergence of an algorithm for the largest singular value of a nonnegative rectangular tensor
by: Zhou, Guanglu, et al.
Published: (2013)

Living near the edge: how extreme outcomes and their neighbours drive risky choice
by: Ludvig, Elliot A., et al.
Published: (2018)

Assessing the Performance of Value-at-Risk Models in Chinese Stock Market
by: Lin, Lin
Published: (2008)

The dogit ordered generalized extreme value model
by: Fry, T.R.L., et al.
Published: (2005)

Multivariate Optimization of Biosynthesis of Triethanolamine-Based Esterquat Cationic Surfactant Using Statistical Algorithms
by: Fard Masoumi, Hamid Reza
Published: (2011)

An epidemic in a dynamic population with importation of infectives
by: Ball, Frank, et al.
Published: (2017)

Value distribution of meromorphic functions and their derivatives
by: Nicks, Daniel A.
Published: (2010)

Min-max optimal control of linear systems with uncertainty and terminal state constraints
by: Wu, C., et al.
Published: (2013)

A combinatorial investigation of sputtered Ta-Al-C thin films
by: Tucker, Mark, et al.
Published: (2014)

Skin, clothing, and dwelling: Max von Pettenkofer, the science of hygiene, and breathing walls
by: Ekici, Didem
Published: (2016)

The Importance of Assuming Appropriate Probability Distributions when Modelling Financial Data with Extremes -A Comparative Study using EVT
by: Hurley, Tamara Janelle
Published: (2006)

Identifying the pollution characteristics of atmospheric polycyclic aromatic hydrocarbons associated with functional districts in Ningbo, China
by: Tong, Lei, et al.
Published: (2019)

Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
by: Stupfler, Gilles, et al.
Published: (2018)

Supply chain flexibility assessment by multivariate regression and neural networks
by: Jeeva, Ananda, et al.
Published: (2010)

Supply chain flexibility assessment by multivariate regression and neural networks
by: Jeeva, Ananda, et al.
Published: (2010)

Improved Multivariate Control Charts with Robust Methods
by: Shabbak, Ashkan
Published: (2011)

Variable selection in principal component analysis : using measures of multivariate association.
by: Sithole, Moses M.
Published: (1992)

Testing a new multivariate GNSS carrier phase attitude determination method for remote sensing platforms
by: Giorgi, G., et al.
Published: (2010)

Bridging the GUI gap with reactive values and relations
by: Perez, Ivan, et al.
Published: (2015)

Extreme heat vulnerability assessment in Peninsular Malaysia with integration of remote sensing and sociodemographic data
by: Ahmad Kamal, Nurfatin Izzati
Published: (2021)

Distances and inference for covariance operators
by: Pigoli, Davide, et al.
Published: (2014)