Consistency of Bayesian Inference for Multivariate Max-Stable Distributions
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Extreme value theory; extremal stochastic processes (60G70) Bayesian problems; characterization of Bayes procedures (62C10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Abstract: Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approach provides a natural framework for statistical prediction. Although various Bayesian inferential procedures have been proposed in the literature of univariate extremes and some for multivariate extremes, the study of their asymptotic properties has been left largely untouched. In this paper we focus on a semiparatric Bayesian method for estimating max-stable distributions in arbitrary dimension. We establish consistency of the pertaining posterior distributions for fairly general, well-specified max-stable models, whose margins can be short-, light- or heavy-tailed. We then extend our consistency results to the case where the data come from a distribution lying in a neighbourhood of a max-stable one, which represents the most realistic inferential setting.
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