Models and inference for uncertainty in extremal dependence

DOI10.1093/BIOMET/89.1.183MaRDI QIDQ4547585zbMATH OpenOpenAlexFDO

Authors Francesco Pauli, Stuart Coles

Publication date 14 November 2002

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/89.1.183

zbMATH Keywords

mixture modelmultivariate extremesasymptotic independenceoceanographic data

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Statistics of extreme values; tail inference (62G32) Hydrology, hydrography, oceanography (86A05)

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Cited in

(24)

• New estimation methods for extremal bivariate return curves
• Modelling non-stationarity in asymptotically independent extremes
• Recognizing a spatial extreme dependence structure: a deep learning approach
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• An alternative point process framework for modeling multivariate extreme values
• Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
• Modelling dependence uncertainty in the extremes of Markov chain
• Bayesian model averaging for multivariate extremes
• Full Bayesian analysis for a model of tail dependence
• Influence measures and robust estimators of dependence in multivariate extremes
• A software review for extreme value analysis
• Geostatistics of dependent and asymptotically independent extremes
• Bayesian inference for the extremal dependence
• A new class of models for bivariate joint tails
• Semiparametric bivariate modelling with flexible extremal dependence
• Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling
• Modelling across extremal dependence classes
• Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data
• Modeling Spatial Processes with Unknown Extremal Dependence Class
• Inference of structures of models of probabilistic dependences from statistical data
• Improved inference on risk measures for univariate extremes
• A choice probability characterization of generalized extreme value models
• The price of independence in a model with unknown dependence
• Bayesian uncertainty management in temporal dependence of extremes

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