Effects of mis-specification in bivariate extreme value problems.

Dupuis, Debbie J. and Tawn, Jonathan A. (2001) Effects of mis-specification in bivariate extreme value problems. Extremes, 4 (4). pp. 315-330. ISSN 1386-1999

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Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
Extremes
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2200/2201
Subjects:
?? asymptotic independence - bivariate extreme value distribution - conditional distribution - covariates - dependence - generalized extreme-value distributionengineering (miscellaneous)economics, econometrics and finance (miscellaneous)statistics and probab ??
ID Code:
19251
Deposited By:
Deposited On:
14 Nov 2008 11:58
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2024 09:41