Semi-parametric modeling of excesses above high multivariate thresholds with censored data

DOI10.1016/J.JMVA.2015.01.014MaRDI QIDQ2018601zbMATH OpenOpenAlexFDO

Authors Anne Sabourin

Publication date 24 March 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.0838

zbMATH Keywords

censored datadata augmentationmultivariate extremesMCMC algorithmssemiparametric Bayesian inference

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Censored data models (62N01) Estimation in survival analysis and censored data (62N02) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)

Abstract: How to include censored data in a statistical analysis is a recur-rent issue in statistics. In multivariate extremes, the dependence structure of large observations can be characterized in terms of a non parametric angular measure, while marginal excesses above asymptotically large thresholds have a parametric distribution. In this work, a flexible semi-parametric Dirichlet mix-ture model for angular measures is adapted to the context of censored data and missing components. One major issue is to take into account censoring intervals overlapping the extremal threshold, without knowing whether the correspond-ing hidden data is actually extreme. Further, the censored likelihood needed for Bayesian inference has no analytic expression. The first issue is tackled using a Poisson process model for extremes, whereas a data augmentation scheme avoids multivariate integration of the Poisson process intensity over both the censored intervals and the failure region above threshold. The implemented MCMC algorithm allows simultaneous estimation of marginal and dependence parameters, so that all sources of uncertainty other than model bias are cap-tured by posterior credible intervals. The method is illustrated on simulated and real data.

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Cited in

(3)

• Modeling of censored bivariate extremal events
• Semiparametric Global Cross‐ratio Models for Bivariate Censored Data
• Concentration bounds for the empirical angular measure with statistical learning applications

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Uses Software

• ismev

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