Dupuis, Debbie J. and Tawn, Jonathan A. (2001) Effects of mis-specification in bivariate extreme value problems. Extremes, 4 (4). pp. 315-330. ISSN 1386-1999Full text not available from this repository.
The need to incorporate the structure of complex problems in extreme value analyzes, and the requirement to exploit all the limited information that is available, has led to the increased use of advanced dependence models. When they are appropriate, these dependence models can lead to substantial benefits over simpler univariate extreme value methods. Here we explore some inference problems for the marginal and conditional distributions caused by model mis-specification. We find distinct differences in estimation characteristics when the dependence structure is asymptotically dependent or asymptotically independent, and that conditional models can be substantially improved if the variables are standardized to have common marginal distributions.
|Journal or Publication Title:||Extremes|
|Uncontrolled Keywords:||asymptotic independence - bivariate extreme value distribution - conditional distribution - covariates - dependence - generalized extreme-value distribution|
|Subjects:||?? qa ??|
|Departments:||Faculty of Science and Technology > Mathematics and Statistics|
|Deposited On:||14 Nov 2008 11:58|
|Last Modified:||24 Mar 2017 00:06|
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