Conditional extreme value models: fallacies and pitfalls

DOI10.1007/S10687-017-0293-5MaRDI QIDQ1693608zbMATH OpenOpenAlexFDO

Authors Holger Drees, Anja Janssen

Publication date 31 January 2018

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.02927

zbMATH Keywords

conditional extremeshidden regular variationmultivariate extreme value models

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Conditional extreme value models have been introduced by Heffernan and Resnick (2007) to describe the asymptotic behavior of a random vector as one specific component becomes extreme. Obviously, this class of models is related to classical multivariate extreme value theory which describes the behavior of a random vector as its norm (and therefore at least one of its components) becomes extreme. However, it turns out that this relationship is rather subtle and sometimes contrary to intuition. We clarify the differences between the two approaches with the help of several illuminative (counter)examples. Furthermore, we discuss marginal standardization, which is a useful tool in classical multivariate extreme value theory but, as we point out, much less straightforward and sometimes even obscuring in conditional extreme value models. Finally, we indicate how, in some situations, a more comprehensive characterization of the asymptotic behavior can be obtained if the conditions of conditional extreme value models are relaxed so that the limit is no longer unique.

Recommendations

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Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Conditioning on an extreme component: model consistency with regular variation on cones
• Detecting a conditional extreme value model
• Extreme value theory. An introduction.
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Cited in

(7)

• Conditional normal extreme-value copulas
• Statistical inference for heavy tailed series with extremal independence
• Limit laws for random vectors with an extreme component
• Transition kernels and the conditional extreme value model
• High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields
• Conditioning on an extreme component: model consistency with regular variation on cones
• Detecting a conditional extreme value model

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