Concepedia

Multivariate Extreme Value Analysis

Multivariate Extreme Value Analysis is a statistical methodology that extends univariate extreme value theory to simultaneously model the joint tail behavior of multiple interdependent environmental variables, enabling the assessment of compound extreme events.

200

Publications

14.4K

Citations

346

Authors

239

Institutions

Publications per year

2017–2026

34

Parents

Publications

200

Extreme Value Theory in Engineering.

James Pickands, Enrique Castillo · Journal of the American Statistical Association · 1989 · 863 citations

, , +12

Statistics for near independence in multivariate extreme values

Anthony Ledford · Biometrika · 1996 · 749 citations

, , +15

Multivariate hydrological frequency analysis using copulas

Anne‐Catherine Favre, Salah‐Eddine El Adlouni, Luc Perreault et al. · Water Resources Research · 2004 · 703 citations · Full text

, , +17

A Conditional Approach for Multivariate Extreme Values (with Discussion)

Janet E. Heffernan, Jonathan A. Tawn · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2004 · 682 citations · Full text

, , +13

Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Ser‐Huang Poon, Michael Rockinger, Jonathan A. Tawn · Review of Financial Studies · 2003 · 609 citations

, , +17

1–5 of 200

Authors

346

  1. JA
    Jonathan A. Tawn

    Lancaster University, United Kingdom

    12 publications · 2.5K citations

    12

    h-index

  2. PN
    Philippe Naveau

    Laboratoire des Sciences du Climat et de l'Environnement, France

    6 publications · 295 citations

    6

    h-index

  3. CZ
    Chen Zhou

    Erasmus University Rotterdam, Netherlands

    5 publications · 237 citations

    5

    h-index

  4. HF
    Helena Ferreira

    University of Beira Interior, Portugal

    5 publications · 83 citations

    5

    h-index

  5. JS
    Johan Segers

    UCLouvain, Belgium

    5 publications · 207 citations

    5

    h-index

1–5 of 346

Institutions

239

  1. Lancaster University

    Lancaster, United Kingdom

    11 h-index

    19 publications

    2.8K citations

  2. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    8 h-index

    9 publications

    509 citations

  3. Centre National de la Recherche Scientifique

    Paris, France

    7 h-index

    13 publications

    1.1K citations

  4. Laboratoire des Sciences du Climat et de l'Environnement

    Gif-sur-Yvette, France

    7 h-index

    11 publications

    1K citations

  5. École Polytechnique Fédérale de Lausanne

    Lausanne, Switzerland

    7 h-index

    8 publications

    528 citations

  6. University of British Columbia

    Vancouver, Canada

    6 h-index

    9 publications

    680 citations

  7. De Nederlandsche Bank

    Amsterdam, The Netherlands

    5 h-index

    5 publications

    237 citations

  8. Universidade do Porto

    Porto, Portugal

    5 h-index

    8 publications

    385 citations

1–8 of 239

Venues

  1. Extremes

    9 publications · 432 citations

    9

    h-index

  2. Journal of Multivariate Analysis

    8 publications · 342 citations

    8

    h-index

  3. Biometrika

    8 publications · 1.4K citations

    8

    h-index

  4. SSRN Electronic Journal

    Repository · 7 publications · 367 citations

    7

    h-index

  5. Bernoulli

    5 publications · 303 citations

    5

    h-index

1–5