A Conditional Approach for Multivariate Extreme Values

A Conditional Approach for Multivariate Extreme Values

Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable. Existing approaches are based on limiting arguments in which all components of the variable become large at the same rate...

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Bibliographische Detailangaben
Veröffentlicht in:Journal of the Royal Statistical Society. Series B (Statistical Methodology). - Blackwell Publishers. - 66(2004), 3, Seite 497-546
1. Verfasser: Heffernan, Janet E. (VerfasserIn)
Weitere Verfasser: Tawn, Jonathan A.
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2004
Zugriff auf das übergeordnete Werk:Journal of the Royal Statistical Society. Series B (Statistical Methodology)
Schlagworte:Air Pollution Asymptotic Independence Bootstrap Conditional Distribution Gaussian Estimation Multivariate Extreme Value Theory Semiparametric Modelling Mathematics Environmental studies Behavioral sciences
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520 |a Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable. Existing approaches are based on limiting arguments in which all components of the variable become large at the same rate. This limit approach is inappropriate when the extreme values of all the variables are unlikely to occur together or when interest is in regions of the support of the joint distribution where only a subset of components is extreme. In practice this restricts existing methods to applications where d is typically 2 or 3. Under an assumption about the asymptotic form of the joint distribution of a d-dimensional random variable conditional on its having an extreme component, we develop an entirely new semiparametric approach which overcomes these existing restrictions and can be applied to problems of any dimension. We demonstrate the performance of our approach and its advantages over existing methods by using theoretical examples and simulation studies. The approach is used to analyse air pollution data and reveals complex extremal dependence behaviour that is consistent with scientific understanding of the process. We find that the dependence structure exhibits marked seasonality, with extremal dependence between some pollutants being significantly greater than the dependence at non-extreme levels. 
540 |a Copyright 2004 The Royal Statistical Society 
650 4 |a Air Pollution 
650 4 |a Asymptotic Independence 
650 4 |a Bootstrap 
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650 4 |a Multivariate Extreme Value Theory 
650 4 |a Semiparametric Modelling 
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650 4 |a Mathematics  |x Mathematical procedures  |x Mathematical extrapolation 
650 4 |a Mathematics  |x Pure mathematics  |x Geometry  |x Geometric shapes  |x Curves  |x Asymptotes  |x Asymptotic value 
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700 1 |a Tawn, Jonathan A.  |e verfasserin  |4 aut 
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