Self-consistent estimation of conditional multivariate extreme value distributions.
Ye LiuJonathan A. TawnPublished in: J. Multivar. Anal. (2014)
Keyphrases
- extreme values
- multivariate gaussian
- maximum likelihood estimation
- probability distribution
- finite mixtures
- multivariate normal
- random variables
- probability distribution function
- estimation algorithm
- probability density
- regression model
- dependence structure
- conditional distributions
- random field model
- power law
- conditional distribution
- kl divergence
- consistency constraints
- marginal distributions
- genetic algorithm
- globally optimal
- lead time
- parameter estimation
- multi class
- similarity measure