Multivariate extreme value distribution functions (EVDs) with standard reverse exponential margins and the pertaining multivariate generalized Pareto distribution functions (GPDs) can be parametrized in terms of their Pickands dependence function D with D=1 representing tail independence....

Classical discriminant analysis focusses on Gaussian and nonparametric models where in the second case the unknown densities are replaced by kernel densities based on the training sample. In the present article we assume that it suffices to base the classification on exceedances above higher...

A well-known result in extreme value theory indicates that componentwise taken sample maxima of random vectors are asymptotically independent under weak conditions. However, in important cases this independence is attained at a very slow rate so that the residual dependence structure plays a...