University of Edinburgh
School of Mathematics and BioSS
Date: Friday 31st March, 15:10 Location: JCMB 5323
Speaker: Manuele Leonelli, University of Glasgow
Title: A semiparametric approach for bivariate extreme exceedances
Abstract: Interest on extreme events generally involves the joint study of many concomitant variables. We build on previous work which specifically accounted for marginal exceedances over a high, unknown threshold, by combining it with flexible, semi-parametric copulae specifications. Whilst giving probabilistic judgements about the extreme regime of all univariate random variables of interest, our approach allows for a variety of patterns of dependence, be them extremal or not. To this purpose we introduce a new probabilistic criterion that quantifies the possibility that the data exhibits asymptotic independence and empirically study its robustness for our models. Estimation of many functions of interest in extreme value analyses, for instance high quantiles and probabilities of joint exceedance, is performed via MCMC algorithms. Attention is also devoted to the prediction of new extreme observations. Our approach is evaluated through a series of simulations and is applied to real data sets from environmental applications.
This seminar is a part of Maxwell Institute seminar series.
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