Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Modelling dependence within joint tail regions
AU - Ledford, A. W.
AU - Tawn, J. A.
PY - 1997
Y1 - 1997
N2 - Standard approaches for modelling dependence within joint tail regions are based on extreme value methods which assume max-stability, a particular form of joint tail dependence. We develop joint tail models based on a broader class of dependence structure which provides a natural link between max-stable models and weaker forms of dependence including independence and negative association. This approach overcomes many of the problems that are encountered with standard methods and is the basis for a Poisson process representation that generalizes existing bivariate results. We apply the new techniques to simulated and environmental data, and demonstrate the marked advantage that the new approach offers for joint tail extrapolation.
AB - Standard approaches for modelling dependence within joint tail regions are based on extreme value methods which assume max-stability, a particular form of joint tail dependence. We develop joint tail models based on a broader class of dependence structure which provides a natural link between max-stable models and weaker forms of dependence including independence and negative association. This approach overcomes many of the problems that are encountered with standard methods and is the basis for a Poisson process representation that generalizes existing bivariate results. We apply the new techniques to simulated and environmental data, and demonstrate the marked advantage that the new approach offers for joint tail extrapolation.
KW - asymptotic independence • coefficient of tail dependence • componentwise maxima • extreme value theory • maximum likelihood • non-homogeneous Poisson process • rates of convergence • slowly varying functions
U2 - 10.1111/1467-9868.00080
DO - 10.1111/1467-9868.00080
M3 - Journal article
VL - 59
SP - 475
EP - 499
JO - Journal of the Royal Statistical Society: Series B (Statistical Methodology)
JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology)
SN - 1369-7412
IS - 2
ER -