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Diagnostics for dependence within time series extremes.

Tawn, Jonathan A. and Ledford, Anthony W. (2003) Diagnostics for dependence within time series extremes. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 65 (2). pp. 521-543. ISSN 1369-7412

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Abstract

Summary. The analysis of extreme values within a stationary time series entails various assumptions concerning its long- and short-range dependence. We present a range of new diagnostic tools for assessing whether these assumptions are appropriate and for identifying structure within extreme events. These tools are based on tail characteristics of joint survivor functions but can be implemented by using existing estimation methods for extremes of univariate independent and identically distributed variables. Our diagnostic aids are illustrated through theoretical examples, simulation studies and by application to rainfall and exchange rate data. On the basis of these diagnostics we can explain characteristics that are found in the observed extreme events of these series and also gain insight into the properties of events that are more extreme than those observed.

Item Type: Article
Journal or Publication Title: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Additional Information: RAE_import_type : Journal article RAE_uoa_type : Statistics and Operational Research
Subjects: Q Science > QA Mathematics
Departments: Faculty of Science and Technology > Mathematics and Statistics
ID Code: 2443
Deposited By: ep_importer
Deposited On: 29 Mar 2008 16:05
Refereed?: Yes
Published?: Published
Last Modified: 28 Oct 2014 10:56
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/2443

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