Abstract
In Chapters 3 to 7 we focused on representations and modeling techniques for extremes of a single process. We now turn attention to multivariate extremes. When studying the extremes of two or more processes, each individual process can be modeled using univariate techniques, but there are strong arguments for also studying the extreme value inter-relationships. First, it may be that some combination of the processes is of greater interest than the individual processes themselves; second, in a multivariate model, there is the potential for data on each variable to inform inferences on each of the others. Examples 1.9–1.11 illustrate situations where such techniques may be applicable.
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Coles, S. (2001). Multivariate Extremes. In: An Introduction to Statistical Modeling of Extreme Values. Springer Series in Statistics. Springer, London. https://doi.org/10.1007/978-1-4471-3675-0_8
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DOI: https://doi.org/10.1007/978-1-4471-3675-0_8
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