Non-parametric Bayesian inference on bivariate extremes

DOI10.1111/J.1467-9868.2010.00770.XMaRDI QIDQ4632661zbMATH OpenOpenAlexFDO

Authors Simon Guillotte, François Perron, Johan Segers

Publication date 30 April 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.3270

zbMATH Keywords

\(\phi\)-irreducibilityBayesbivariate extreme value distributionextreme conditional quantilesMarkov chain Monte Carlo methodsMetropolis-within-Gibbs samplingpredictionrare event probabilitiesreversible jumpsspectral measure

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Abstract: The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value distribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a three-parameter family and a dependence structure which is characterised by a spectral measure, that is a probability measure on the unit interval with mean equal to one half. As an alternative to parametric modelling of the spectral measure, we propose an infinite-dimensional model which is at the same time manageable and still dense within the class of spectral measures. Inference is done in a Bayesian framework, using the censored-likelihood approach. In particular, we construct a prior distribution on the class of spectral measures and develop a trans-dimensional Markov chain Monte Carlo algorithm for numerical computations. The method provides a bivariate predictive density which can be used for predicting the extreme outcomes of the bivariate distribution. In a practical perspective, this is useful for computing rare event probabilities and extreme conditional quantiles. The methodology is validated by simulations and applied to a data-set of Danish fire insurance claims.

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Cited in

(16)

• Bayesian model averaging for multivariate extremes
• Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
• On estimating extremal dependence structures by parametric spectral measures
• Semi-parametric modeling of excesses above high multivariate thresholds with censored data
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• Extremes and regular variation
• Consistency of Bayesian inference for multivariate max-stable distributions
• Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
• Semiparametric bivariate modelling with flexible extremal dependence
• Bernstein polynomial angular densities of multivariate extreme value distributions
• Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
• Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
• New composite models for the Danish fire insurance data
• Discussion: Statistical models and methods for dependence in insurance data
• Sparse regular variation
• Bayesian inference for the extremal dependence

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