A conditional approach for multivariate extreme values

@inproceedings{Heffernan2004ACA,
title={A conditional approach for multivariate extreme values},
author={Janet E. Heffernan and Jonathan A. Tawn},
year={2004}
}

Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable. Existing approaches are based on limiting arguments in which all components of the variable become large at the same rate.This limit approach is inappropriate when the extreme values of all the variables are unlikely to occur together or when interest is in regions of the support of the joint distribution where only a… CONTINUE READING