Transition kernels and the conditional extreme value model

DOI10.1007/S10687-014-0182-0MaRDI QIDQ488095zbMATH OpenOpenAlexFDO

Authors Sidney I. Resnick, David Zeber

Publication date 23 January 2015

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.3060

zbMATH Keywords

domain of attractionextreme value theoryheavy tailsMarkov chainmultivariate regular variationtransition kernel

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Abstract: The classical approach to multivariate extreme value modelling assumes that the joint distribution belongs to a multivariate domain of attraction. This requires each marginal distribution be individually attracted to a univariate extreme value distribution. An apparently more flexible extremal model for multivariate data was proposed by Heffernan and Tawn under which not all the components are required to belong to an extremal domain of attraction but assumes instead the existence of an asymptotic approximation to the conditional distribution of the random vector given one of the components is extreme. Combined with the knowledge that the conditioning component belongs to a univariate domain of attraction, this leads to an approximation of the probability of certain risk regions. The original focus on conditional distributions had technical drawbacks but is natural in several contexts. We place this approach in the context of the more general approach using convergence of measures and multivariate regular variation on cones.

Review text

Multivariate modelling of extremes proposed in [\textit{J. E. Heffernan} and \textit{J. A. Tawn}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 66, No. 3, 497--546 (2004; Zbl 1046.62051)] was reformulated as the conditional extreme value model (CEVM) in [\textit{J. E. Heffernan} and \textit{S. I. Resnick}, Ann. Appl. Probab. 17, No. 2, 537--571 (2007; Zbl 1125.60049)]. Restricting to two dimensions, the article under review looks at how a formulation based on asymptotic theory of transition kernels fits with the general CEVM theory expressed in terms of vague convergence of measures and how constructing the CEVM from transition kernels restricts the class of measures. For this, the kernel domain of attraction condition used in [\textit{S. I. Resnick} and \textit{D. Zeber}, Adv. Appl. Probab. 45, No. 1, 186--213 (2013; Zbl 1270.60061)] is extended to accommodate general linear normalization in both the initial state and the distribution of the next state. It is shown that in the standard case when both components are scaled by the same function, kernel convergence always implies the CEVM. A counterexample is given to show that the converse fails. The authors also study the case when both components are scaled by different normalizing functions.

Recommendations

• Conditional extreme value models: fallacies and pitfalls
• Detecting a conditional extreme value model
• Conditioning on an extreme component: model consistency with regular variation on cones
• Asymptotics of Markov kernels and the tail chain
• On domains of attraction of multivariate extreme value distributions under absolute continuity

Cites work

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Asymptotics of Markov kernels and the tail chain
• Characterizations and examples of hidden regular variation
• Clustering of Markov chain exceedances
• Conditioning on an extreme component: model consistency with regular variation on cones
• Conjugate -variation and process inversion
• Detecting a conditional extreme value model
• Estimation of conditional laws given an extreme component
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• Hidden regular variation, second order regular variation and asymptotic independence
• scientific article; zbMATH DE number 3866301 (Why is no real title available?)
• scientific article; zbMATH DE number 43570 (Why is no real title available?)
• scientific article; zbMATH DE number 1243444 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 5242364 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Limit laws for random vectors with an extreme component
• Living on the multidimensional edge: Seeking hidden risks using regular variation
• Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Random difference equations and renewal theory for products of random matrices
• Regularly varying functions
• Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
• Transition kernels and the conditional extreme value model

Cited in

(11)

• Conditional extreme value models: fallacies and pitfalls
• Conditional independence and conditioned limit laws
• Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
• Transition kernels and the conditional extreme value model
• One- versus multi-component regular variation and extremes of Markov trees
• A conditional limit theorem for a bivariate representation of a univariate random variable and conditional extreme values
• Extreme events of Markov chains
• Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data
• Conditioning on an extreme component: model consistency with regular variation on cones
• Sub-asymptotic motivation for new conditional multivariate extreme models
• Conditioned limit laws for inverted max-stable processes

This page was built for publication: Transition kernels and the conditional extreme value model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q488095)