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Sur l'estimation de probabilités de queues multivariées

Abstract : This PhD thesis presents contributions to the modelling of multivariate extremevalues. We introduce a new tail model for multivariate distribution with Pareto margins. This model is inspired from the Wadsworth and Tawn (2013) one. A new non-standard multivariate regular variation with index equals to a function of two variables is thus introduced to generalize both modeling approaches proposedby Ramos and Ledford (2009) and Wadsworth and Tawn (2013), respectively. Building on this new approach we propose a new class of non-parametric models allowing multivariate extrapolation along trajectories covering the entire first positive quadrant. Similarly we consider parametric models built with a non-negative measure satisfying a constraint that generalizes the Ramos and Ledford (2009) one. These new models are flexible and valid in both situations of dependence or asymptotic independence.
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Submitted on : Tuesday, December 4, 2018 - 10:31:00 AM
Last modification on : Tuesday, September 8, 2020 - 5:21:03 AM
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  • HAL Id : tel-01943752, version 1


Mohamed Néjib Dalhoumi. Sur l'estimation de probabilités de queues multivariées. Autres [stat.ML]. Université Montpellier, 2017. Français. ⟨NNT : 2017MONTS061⟩. ⟨tel-01943752⟩



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