Exceedance-based nonlinear regression of tail dependence
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Abstract: The probability and structure of co-occurrences of extreme values in multivariate data may critically depend on auxiliary information provided by covariates. In this contribution, we develop a flexible generalized additive modeling framework based on high threshold exceedances for estimating covariate-dependent joint tail characteristics for regimes of asymptotic dependence and asymptotic independence. The framework is based on suitably defined marginal pretransformations and projections of the random vector along the directions of the unit simplex, which lead to convenient univariate representations of multivariate exceedances based on the exponential distribution. Good performance of our estimators of a nonparametrically designed influence of covariates on extremal coefficients and tail dependence coefficients are shown through a simulation study. We illustrate the usefulness of our modeling framework on a large dataset of nitrogen dioxide measurements recorded in France between 1999 and 2012, where we use the generalized additive framework for modeling marginal distributions and tail dependence in monthly maxima. Our results imply asymptotic independence of data observed at different stations, and we find that the estimated coefficients of tail dependence decrease as a function of spatial distance and show distinct patterns for different years and for different types of stations (traffic vs. background).
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Cited in
(8)- On high level exceedance modeling and tail inference
- A modeler's guide to extreme value software
- Nonstationary modelling of tail dependence of two subjects' concentration
- Regression-type models for extremal dependence
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- New estimation methods for extremal bivariate return curves
- Modelling non-stationarity in asymptotically independent extremes
- Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
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