Effects of mis-specification in bivariate extreme value problems

DOI10.1023/A:1016540012032MaRDI QIDQ1409826zbMATH OpenOpenAlexFDO

Authors Debbie J. Dupuis, Jonathan A. Twan

Publication date 22 October 2003

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1016540012032

zbMATH Keywords

asymptotic independencebivariate extreme value distributionconditional distributiongeneralized extreme value distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Multivariate distribution of statistics (62H10)

Review text

A bivariate CDF of \((X,Y)\) is expressed in the copula form \(F(x,y)=C(F_X(x),F_Y(y))\), where \(F_X\) and \(F_Y\) are marginal CDFs which are supposed to be generalized extreme value distributions. The authors examine the effect of misspecification of the function \(C\) (copula) on the estimates of \(F_X\), \(F_Y\) and quantiles.

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Cited in

(9)

• Testing for tail independence in extreme value models
• Mis-Specification Analysis Between Normal and Extreme Value Distributions for a Linear Regression Model
• Multivariate extreme value theory and its usefulness in understanding risk
• Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
• Testing for lower tail dependence in extreme value models
• A robust test for asymptotic independence of bivariate extremes
• Polynomial Pickands functions
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
• Influence measures and robust estimators of dependence in multivariate extremes

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