Orthant tail dependence of multivariate extreme value distributions.
Haijun LiPublished in: J. Multivar. Anal. (2009)
Keyphrases
- extreme values
- dependence structure
- heavy tailed
- power law
- finite mixtures
- statistical dependence
- marginal distributions
- multivariate normal
- probability distribution
- machine learning
- random variables
- probability distribution function
- joint distribution
- covariance matrix
- mutual information
- minimum message length
- multivariate gaussian
- gaussian mixture model
- mixture model