Bayesian inference for the extremal dependence
From MaRDI portal
Abstract: A simple approach for modeling multivariate extremes is to consider the vector of component-wise maxima and their max-stable distributions. The extremal dependence can be inferred by estimating the angular measure or, alternatively, the Pickands dependence function. We propose a nonparametric Bayesian model that allows, in the bivariate case, the simultaneous estimation of both functional representations through the use of polynomials in the Bernstein form. The constraints required to provide a valid extremal dependence are addressed in a straightforward manner, by placing a prior on the coefficients of the Bernstein polynomials which gives probability one to the set of valid functions. The prior is extended to the polynomial degree, making our approach fully nonparametric. Although the analytical expression of the posterior is unknown, inference is possible via a trans-dimensional MCMC scheme. We show the efficiency of the proposed methodology by means of a simulation study. The extremal behaviour of log-returns of daily exchange rates between the Pound Sterling vs the U.S. Dollar and the Pound Sterling vs the Japanese Yen is analysed for illustrative purposes.
Recommendations
- Models and inference for uncertainty in extremal dependence
- Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
- Non-parametric Bayesian inference on bivariate extremes
- Bayesian model averaging for multivariate extremes
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
Cited in
(21)- Bayesian inference for clustered extremes
- Bayesian threshold selection for extremal models using measures of surprise
- Modelling non-stationarity in asymptotically independent extremes
- Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
- Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
- A comparison of dependence function estimators in multivariate extremes
- Bayesian model averaging for multivariate extremes
- Influence measures and robust estimators of dependence in multivariate extremes
- Consistency of Bayesian inference for multivariate max-stable distributions
- Estimation and uncertainty quantification for extreme quantile regions
- Non-parametric Bayesian inference on bivariate extremes
- ExtremalDep
- A semi-parametric stochastic generator for bivariate extreme events
- Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
- Partial Tail-Correlation Coefficient Applied to Extremal-Network Learning
- Bayesian inference with dependent normalized completely random measures
- scientific article; zbMATH DE number 7698718 (Why is no real title available?)
- Bernstein polynomial angular densities of multivariate extreme value distributions
- Models and inference for uncertainty in extremal dependence
- Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
- Bayesian inference for extremes: accounting for the three extremal types
This page was built for publication: Bayesian inference for the extremal dependence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q73753)
