• Corpus ID: 251953444

Statistical inference for multivariate extremes via a geometric approach

@inproceedings{Wadsworth2022StatisticalIF,
  title={Statistical inference for multivariate extremes via a geometric approach},
  author={Jennifer L. Wadsworth and Ryan Campbell},
  year={2022}
}
A geometric representation for multivariate extremes, based on the shapes of scaled sample clouds in light-tailed margins and their so-called limit sets, has recently been shown to connect several existing extremal dependence concepts. However, these results are purely probabilistic, and the geometric approach itself has not been fully exploited for statistical inference. We outline a method for parametric estimation of the limit set shape, which includes a useful non/semiparametric estimate as… 

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