Spectral Density Ratio Models for Multivariate Extremes

The modeling of multivariate extremes has received increasing recent attention because of its importance in risk assessment. In classical statistics of extremes, the joint distribution of two or more extremes has a nonparametric form, subject to moment constraints. This article develops a semiparame...

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Veröffentlicht in:Journal of the American Statistical Association 2014-06, Vol.109 (506), p.764-776
Hauptverfasser: de Carvalho, Miguel, Davison, Anthony C.
Format: Artikel
Sprache:eng
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Zusammenfassung:The modeling of multivariate extremes has received increasing recent attention because of its importance in risk assessment. In classical statistics of extremes, the joint distribution of two or more extremes has a nonparametric form, subject to moment constraints. This article develops a semiparametric model for the situation where several multivariate extremal distributions are linked through the action of a covariate on an unspecified baseline distribution, through a so-called density ratio model. Theoretical and numerical aspects of empirical likelihood inference for this model are discussed, and an application is given to pairs of extreme forest temperatures. Supplementary materials for this article are available online.
ISSN:1537-274X
0162-1459
1537-274X
DOI:10.1080/01621459.2013.872651