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Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology

Anne DutfoySylvie PareyNicolas Roche — 2014

Dependence Modeling

In this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint...

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