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Estimating Strategies for Multiparameter Multivariate Extreme Value Copulas : Volume 7, Issue 5 (04/10/2010)

By Salvadori, G.

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Book Id: WPLBN0004012689
Format Type: PDF Article :
File Size: Pages 28
Reproduction Date: 2015

Title: Estimating Strategies for Multiparameter Multivariate Extreme Value Copulas : Volume 7, Issue 5 (04/10/2010)  
Author: Salvadori, G.
Volume: Vol. 7, Issue 5
Language: English
Subject: Science, Hydrology, Earth
Collections: Periodicals: Journal and Magazine Collection, Copernicus GmbH
Publication Date:
Publisher: Copernicus Gmbh, Göttingen, Germany
Member Page: Copernicus Publications


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Salvadori, G., & Michele, C. D. (2010). Estimating Strategies for Multiparameter Multivariate Extreme Value Copulas : Volume 7, Issue 5 (04/10/2010). Retrieved from

Description: Dipartimento di Matematica, Università del Salento, Provinciale Lecce-Arnesano, P.O. Box 193, 73100 Lecce, Italy. 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 parameters of the selected copula, according to different criteria: these may use either a nearest neighbor or a nearest cluster approach, or exploit all the pair-wise relationships between the available gauge stations. An application to flood data is also illustrated and discussed.

Estimating strategies for Multiparameter Multivariate Extreme value copulas

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