Journal
STATISTICS & PROBABILITY LETTERS
Volume 186, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.spl.2022.109478
Keywords
Extreme values; Random fields modeling; Tail dependence coefficients; Asymptotic independence
Categories
Funding
- research unit Centre of Mathematics and Applications of University of Beira Interior [UIDB/00212/2020-FCT]
- Portuguese Funds through FCT (Fundac o para a Ciencia e a Tecnologia) [UIDB/00013/2020, UIDB/00212/2020]
- Centre of Statistics and its Applications of University of Lisbon [UIDB/00006/2020]
- Center for Computational and Stochastic Mathematics [UIDB/04621/2020, UIDP/04621/2020]
- [UIDP/00013/2020]
- Fundação para a Ciência e a Tecnologia [UIDB/00013/2020, UIDB/00212/2020, UIDP/00013/2020] Funding Source: FCT
Ask authors/readers for more resources
This paper discusses the risk of atypical phenomena in several areas and proposes a new random field pMAX for modeling extremes. The dependence and pre-asymptotic dependence structure of the field are analyzed, and estimators for the model parameters are obtained.
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these random phenomena carry variables defined in time and space, usually modeled through random fields. Thus, the study of random fields in the context of extreme values becomes imperative and has been developed especially in the last decade. In this work, we propose a new random field, called pMAX, designed for modeling extremes. We analyze its dependence and pre-asymptotic dependence structure through the corresponding bivariate tail dependence coefficients. Estimators for the model parameters are obtained and their finite sample properties analyzed. Examples with simulations illustrate the results. (C) 2022 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available