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It was 30 years ago today when Laurens de Haan went the multivariate way
Authors:Michael Falk
Affiliation:(1) Institute of Mathematics, University of Würzburg, 97074 Würzburg, Germany
Abstract:Since the publication of his masterpiece on regular variation and its application to the weak convergence of (univariate) sample extremes in 1970, Laurens de Haan (Thesis, Mathematical Centre Tract vol. 32, University of Amsterdam, 1970) is among the leading mathematicians in the world, with a particular focus on extreme value theory (EVT). On the occasion of his 70th birthday it is a great pleasure and a privilege to follow his route through multivariate EVT, which started only seven years later in 1977, when Laurens de Haan published his first paper on multivariate EVT, jointly with Sid Resnick.
Keywords:Max infinitely divisibility  Multivariate extreme value distributions  Exponent measure  Stable tail dependence function  Angular measure  Extreme value statistics  Max-stable processes
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