Regression-type models for extremal dependence

DOI10.1111/SJOS.12388MaRDI QIDQ3299028zbMATH OpenOpenAlexFDO

Authors

Publication date 17 July 2020

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.08447

zbMATH Keywords

angular densitycovariate adjustmentpenalized log-likelihoodstatistics of multivariate extremesvector generalized additive modeling (VGAM)

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Applications of statistics to environmental and related topics (62P12)

Abstract: We propose a vector generalized additive modeling framework for taking into account the effect of covariates on angular density functions in a multivariate extreme value context. The proposed methods are tailored for settings where the dependence between extreme values may change according to covariates. We devise a maximum penalized log-likelihood estimator, discuss details of the estimation procedure, and derive its consistency and asymptotic normality. The simulation study suggests that the proposed methods perform well in a wealth of simulation scenarios by accurately recovering the true covariate-adjusted angular density. Our empirical analysis reveals relevant dynamics of the dependence between extreme air temperatures in two alpine resorts during the winter season. Supplementary materials for this article are available online.

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(24)

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