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Effects of mis-specification in bivariate extreme value problems.

Research output: Contribution to journalJournal article

<mark>Journal publication date</mark>12/2001
Issue number4
Number of pages16
Pages (from-to)315-330
Publication StatusPublished
<mark>Original language</mark>English


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.