Canadian Journal of Statistics

Multivariate extreme‐value distributions with applications to environmental data

Journal Article

Abstract

Some parametric families of multivariate extreme‐value distributions have been proposed in recent years; several additional parametric families are derived here. The parametric models are fitted, using numerical maximum likelihood, to some environmental multivariate extreme data sets consisting of extreme concentrations of a pollutant at several monitoring stations in a region. Some multivariate nonnormal data analysis techniques are proposed to aid in the likelihood analysis. The new models, together with previous models, appear to be adequate for inferences in that they cover a wide range of possible dependence patterns.

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