Estimating strategies for multiparameter Multivariate Extreme Value copulas
- 1Dipartimento di Matematica, Università del Salento, Provinciale Lecce-Arnesano, P.O. Box 193, 73100 Lecce, Italy
- 2Sezione CIMI, Politecnico di Milano, Piazza Leonardo da Vinci 32, 20132 Milano, Italy
Abstract. Multivariate Extreme Value models are a fundamental tool in order to assess potentially dangerous events. Exploiting recent theoretical developments in the theory of Copulas, new multiparameter models can be easily constructed. In this paper we suggest several strategies in order to estimate the parameters of the selected copula, according to different criteria: these may use a single station approach, or a cluster strategy, or exploit all the pair-wise relationships between the available gauge stations. An application to flood data is also illustrated and discussed.