Modelling across extremal dependence classes

DOI10.1111/RSSB.12157zbMATH Open1414.62165arXiv1408.5060OpenAlexW58405484MaRDI QIDQ5378159FDOQ5378159

Jennifer L. Wadsworth, Daniel M. Elton, A. C. Davison, Jonathan A. Tawn

Publication date: 12 June 2019

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

Abstract: Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent. Most available statistical models suit one or other of these cases, but not both, resulting in a stage in the inference that is unaccounted for, but can substantially impact subsequent extrapolation. Existing modelling solutions to this problem are either applicable only on sub-domains, or appeal to multiple limit theories. We introduce a unified representation for bivariate extremes that encompasses a wide variety of dependence scenarios, and applies when at least one variable is large. Our representation motivates a parametric model that encompasses both dependence classes. We implement a simple version of this model, and show that it performs well in a range of settings.

Full work available at URL: https://arxiv.org/abs/1408.5060

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zbMATH Keywords

extreme value theorycensored likelihoodasymptotic independencedependence modellingmultivariate regular variationconditional extremes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

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