Simple models for multivariate regular variations and the Hüsler-Reiss Pareto distribution

12/26/2017

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by   Zhen Wai Olivier Ho, et al.

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We revisit multivariate extreme value theory modeling by emphasizing multivariate regular variations and the multivariate Breiman Lemma. This allows us to recover in a simple framework the most popular multivariate extreme value distributions, such as the logistic, negative logistic, Dirichlet, extremal-t and Hüsler-Reiss models. In a second part of the paper, we focus on the Hüsler-Reiss Pareto model and its surprising exponential family property. After a thorough study of this exponential family structure, we focus on maximum likelihood estimation. We also consider the generalized Hüsler-Reiss Pareto model with different tail indices and a likelihood ratio test for discriminating constant tail index versus varying tail indices.