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  • 1809.01606

    Accepted author manuscript, 880 KB, PDF document

    Embargo ends: 7/05/21

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Determining the dependence structure of multivariate extremes

Research output: Contribution to journalJournal article

E-pub ahead of print
<mark>Journal publication date</mark>7/05/2020
<mark>Journal</mark>Biometrika
Publication statusE-pub ahead of print
Early online date7/05/20
Original languageEnglish

Abstract

In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies in determining which subsets of variables can take their largest values simultaneously while the others are of smaller order. Our approach to this problem exploits hidden regular variation properties on a collection of nonstandard cones, and provides a new set of indices that reveal aspects of the extremal dependence structure not available through existing measures of dependence. We derive theoretical properties of these indices, demonstrate their utility through a series of examples, and develop methods of inference that also estimate the proportion of extremal mass associated with each cone. We apply the methods to river flows in the U.K., estimating the probabilities of different subsets of sites being large simultaneously.