On the construction of multivariate extreme value models via copulas
Article first published online: 3 JUN 2009
Copyright © 2009 John Wiley & Sons, Ltd.
Volume 21, Issue 2, pages 143–161, March 2010
How to Cite
Durante, F. and Salvadori, G. (2010), On the construction of multivariate extreme value models via copulas. Environmetrics, 21: 143–161. doi: 10.1002/env.988
- Issue published online: 17 MAR 2010
- Article first published online: 3 JUN 2009
- Manuscript Accepted: 22 DEC 2008
- Manuscript Received: 25 SEP 2008
- multivariate extreme value distributions;
- extreme value copulas;
- Marshall--Olkin models;
- random variates generation;
- multivariate return periods
Copulas represent a fundamental tool for constructing multivariate probability distributions. Exploiting recent theoretical developments concerning the construction of copulas, we outline several methods for generating multivariate extreme value (MEV) laws having a suitable number of parameters, a feature of great importance in applications. The corresponding random vectors can be efficiently simulated, and easily fitted to empirical data. The use of multivariate return periods for extreme events is also discussed. A practical illustration involving maxima sampled via a network of non-independent gauge stations is presented. Copyright © 2009 John Wiley & Sons, Ltd.