Joint modelling of the body and tail of bivariate data

DOI10.1016/J.CSDA.2023.107841MaRDI QIDQ6071704zbMATH OpenOpenAlexFDO

Authors

Publication date 28 November 2023

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2209.05795

zbMATH Keywords

copulasdependenceextremal dependence

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: In situations where both extreme and non-extreme data are of interest, modelling the whole data set accurately is important. In a univariate framework, modelling the bulk and tail of a distribution has been studied before, but little work has been done when more than one variable is of concern. We propose a dependence model that blends two copulas with different characteristics over the whole range of the data support. One copula is tailored to the bulk and the other to the tail, with a dynamic weighting function employed to transition smoothly between them. We investigate tail dependence properties numerically and use simulation to confirm that the blended model is flexible enough to capture a wide variety of structures. We apply our model to study the dependence between temperature and ozone concentration at two sites in the UK and compare with a single copula fit. The proposed model provides a better, more flexible, fit to the data, and is also capable of capturing complex dependence structures.

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Cited in

(3)

• Semi-parametric bulk and tail regression using spline-based neural networks
• Neural Bayes estimation and selection of complex bivariate extremal dependence models
• Amortized neural inference on bivariate tail dependence and tail asymmetry

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