Models for Extremal Dependence Derived from Skew-symmetric Families

Models for Extremal Dependence Derived from Skew-symmetric Families

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Article ID: iaor201775
Volume: 44
Issue: 1
Start Page Number: 21
End Page Number: 45
Publication Date: Mar 2017
Journal: Scandinavian Journal of Statistics
Authors: , ,
Keywords: statistics: distributions
Abstract:

Skew‐symmetric families of distributions such as the skew‐normal and skew‐t represent supersets of the normal and t distributions, and they exhibit richer classes of extremal behaviour. By defining a non‐stationary skew‐normal process, which allows the easy handling of positive definite, non‐stationary covariance functions, we derive a new family of max‐stable processes – the extremal skew‐t process. This process is a superset of non‐stationary processes that include the stationary extremal‐t processes. We provide the spectral representation and the resulting angular densities of the extremal skew‐t process and illustrate its practical implementation.

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