ORDERED MULTIVARIATE EXTREMES

Authors
NADARAJAH S ANDERSON CW TAWN JA
Citation
S. Nadarajah et al., ORDERED MULTIVARIATE EXTREMES, Journal of the Royal Statistical Society. Series B: Methodological, 60, 1998, pp. 473-496
Citations number
22
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of the Royal Statistical Society. Series B: Methodological
ISSN journal
13697412 → ACNP
Volume
60
Year of publication
1998
Part
2
Pages
473 - 496
Database
ISI
SICI code
1369-7412(1998)60:<473:>2.0.ZU;2-#
Abstract
Multivariate extreme value models and associated statistical methods a re developed for vector observations whose components are subject to a n order restriction. The approach extends the multivariate threshold m ethodology of Coles and Tawn, Joe and co-workers and Smith and cc-work ers. The results are illustrated by an analysis of extreme rainfalls o f different durations, and by a study of the problem of linking a long series of daily rainfall extremes with a partially overlapping shorte r series of hourly extremes.