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Effects of mis-specification in bivariate extreme value problems.

Research output: Contribution to journalJournal article

Published

Journal publication date12/2001
JournalExtremes
Journal number4
Volume4
Number of pages16
Pages315-330
Original languageEnglish

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.