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The Danish National Research Foundation:
Network in Mathematical Physics and Stochastics

Funded by The Danish National Research Foundation

MPS-RR 2004-21
October 2004

How to model multivariate extremes if one must?

by: Thomas Mikosch


In this paper we discuss some approaches to modeling extremely large values in multivariate time series. In particular, we discuss the notion of multivariate regularly varying as key to modeling multivariate heavy-tailed phenomena. The latter notion has found a variety of applications in queuing theory, stochastic networks, telecommunications, insurance, finance and other areas. We contrast this approach with modeling multivariate extremes by using the multivariate student distribution and copulas.

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This paper has now been published in Statistica Neerlandica (to appear)