Models for Extremal Dependence Derived from Skew‐symmetric Families

@article{Beranger2015ModelsFE,
  title={Models for Extremal Dependence Derived from Skew‐symmetric Families},
  author={Boris Beranger and Simone A. Padoan and Scott Anthony Sisson},
  journal={Scandinavian Journal of Statistics},
  year={2015},
  volume={44},
  pages={21 - 45}
}
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… 
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