Geodesic
Generalized logistic model and its orthant tail dependence
Kybernetika, Tome 47 (2011) no. 5, pp. 732-739

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn [14], Joe and Hu [6] and Fougères et al. [3]. The parametric family of multivariate extreme value distributions considered presents a flexible dependence structure and we compute for it the multivariate tail dependence coefficients considered in Li [7].
Classification : 60G70
Keywords: multivariate extreme value distribution; tail dependence; logistic model; mixture 
@article{KYB_2011__47_5_a5,
     author = {Ferreira, Helena and Pereira, Luisa},
     title = {Generalized logistic model and its orthant tail dependence},
     journal = {Kybernetika},
     pages = {732--739},
     publisher = {mathdoc},
     volume = {47},
     number = {5},
     year = {2011},
     mrnumber = {2850460},
     zbl = {1250.62027},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2011__47_5_a5/}
}
TY  - JOUR
AU  - Ferreira, Helena
AU  - Pereira, Luisa
TI  - Generalized logistic model and its orthant tail dependence
JO  - Kybernetika
PY  - 2011
SP  - 732
EP  - 739
VL  - 47
IS  - 5
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/KYB_2011__47_5_a5/
LA  - en
ID  - KYB_2011__47_5_a5
ER  - 
%0 Journal Article
%A Ferreira, Helena
%A Pereira, Luisa
%T Generalized logistic model and its orthant tail dependence
%J Kybernetika
%D 2011
%P 732-739
%V 47
%N 5
%I mathdoc
%U http://geodesic.mathdoc.fr/item/KYB_2011__47_5_a5/
%G en
%F KYB_2011__47_5_a5
Ferreira, Helena; Pereira, Luisa. Generalized logistic model and its orthant tail dependence. Kybernetika, Tome 47 (2011) no. 5, pp. 732-739. http://geodesic.mathdoc.fr/item/KYB_2011__47_5_a5/