Estimation of the conditional distribution of a vector variable given that one of its components is large:additional constraints for the Heffernan and Tawn model

Keef, Caroline and Papastathopoulos, Ioannis and Tawn, Jonathan Angus (2013) Estimation of the conditional distribution of a vector variable given that one of its components is large:additional constraints for the Heffernan and Tawn model. Journal of Multivariate Analysis, 115. pp. 396-404. ISSN 0047-259X

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Abstract

A number of different approaches to study multivariate extremes have been developed. Arguably the most useful and flexible is the theory for the distribution of a vector variable given that one of its components is large. We build on the conditional approach of Heffernan and Tawn (2004) [13] for estimating this type of multivariate extreme property. Specifically we propose additional constraints for, and slight changes in, their model formulation. These changes in the method are aimed at overcoming complications that have been experienced with using the approach in terms of their modelling of negatively associated variables, parameter identifiability problems and drawing conditional inferences which are inconsistent with the marginal distributions. The benefits of the methods are illustrated using river flow data from two tributaries of the River Thames in the UK.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Multivariate Analysis
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2612
Subjects:
ID Code:
76763
Deposited By:
Deposited On:
23 Nov 2015 11:38
Refereed?:
Yes
Published?:
Published
Last Modified:
18 Nov 2020 03:22