Dispersion models for extremes

DOI10.1007/S10687-009-0093-7zbMATH Open1226.62009arXiv0712.4323OpenAlexW2072371186MaRDI QIDQ650741FDOQ650741

Bent Jørgensen, Yuri Goegebeur, José Raúl Martínez

Publication date: 27 November 2011

Published in: Extremes (Search for Journal in Brave)

Abstract: We propose extreme value analogues of natural exponential families and exponential dispersion models, and introduce the slope function as an analogue of the variance function. The set of quadratic and power slope functions characterize well-known families such as the Rayleigh, Gumbel, power, Pareto, logistic, negative exponential, Weibull and Fr'echet. We show a convergence theorem for slope functions, by which we may express the classical extreme value convergence results in terms of asymptotics for extreme dispersion models. The main idea is to explore the parallels between location families and natural exponential families, and between the convolution and minimum operations.

Full work available at URL: https://arxiv.org/abs/0712.4323

Recommendations

• scientific article; zbMATH DE number 1253515
• scientific article; zbMATH DE number 3888727
• scientific article
• Exponential Dispersion Models and Extensions: A Review
• Double Exponential Families and Their Use in Generalized Linear Regression

zbMATH Keywords

generalized extreme value distributionconvergence of extremesextreme generalized linear modelhazard location familypower slope functionquadratic slope function

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Generalized linear models (logistic models) (62J12)

Cites Work

• An introduction to statistical modeling of extreme values
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistics of Extremes
• Title not available (Why is that?)
• Extreme value theory. An introduction.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Parameter Orthogonality and Bias Adjustment for Estimating Functions
• Adaptive estimates of parameters of regular variation
• Sur la distribution limite du terme maximum d'une série aléatoire
• Natural exponential families with quadratic variance functions
• On linear and quadratic estimating functions
• Title not available (Why is that?)
• Survival models for heterogeneous populations derived from stable distributions
• The exponentiated type distributions
• Classical and free infinite divisibility and Lévy processes
• Extremal Processes
• Natural real exponential families with cubic variance functions
• Title not available (Why is that?)
• Domains of attraction to Tweedie distributions
• FREE EXPONENTIAL FAMILIES AS KERNEL FAMILIES
• Thiele: Pioneer in Statistics
• Reproducibility and natural exponential families with power variance functions
• Tail Conditional Expectations for Exponential Dispersion Models
• Title not available (Why is that?)
• Von Mises conditions revisited
• Title not available (Why is that?)
• La convergence des fonctions variance des familles exponentielles naturelles
• Exponential families with variance functions in \(\sqrt {\Delta}P(\sqrt {\Delta})\): Seshadri's class
• Tauber theory for infinitely divisible variance functions
• Stationary state space models for longitudinal data
• Title not available (Why is that?)

Cited In (8)

• Dispersion models for geometric sums
• Parametric models for distributions when interest is in extremes with an application to daily temperature
• The limiting behavior of some infinitely divisible exponential dispersion models
• Discrete dispersion models and their Tweedie asymptotics
• Construction of multivariate dispersion models
• Estimations of the extreme flow distributions by stochastic models
• A Cape Cod model for the exponential dispersion family
• Clusters of extremes: modeling and examples

Uses Software

• ismev

This page was built for publication: Dispersion models for extremes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q650741)