frechetdat {BMAmevt}

Multivariate data set with margins following unit Frechet distribution.

Description

Five-variate dataset which margins follow unit-Frechet distributions, obtained from winterdat by 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.

Format

A 601*5 - matrix:

References

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.