Five-variate dataset which margins follow unit-Frechet
distributions, obtained from
probability integral transform. Marginal estimation was
performed by maximum likelihood estimation of a
Generalized Pareto distribution over marginal thresholds
corresponding to 0.7 quantiles, following Cooley
et.al. (see reference below). The “non
extreme” part of the marginal distributions was
approximated by the empirical distribution function.
A 601*5 - matrix:
COOLEY, D., DAVIS , R. and NAVEAU , P. (2010). The pairwise beta distribution: A flexible parametric multivariate model for extremes. Journal of Multivariate Analysis 101, 2103-2117.
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