Determining the dependence structure of multivariate extremes

• 成果类型: Article
• 署名作者: Simpson, E. S.; Wadsworth, J. L.; Tawn, J. A.
• 署名单位: Lancaster University
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asaa018
• 发表日期: 2020
• 页码: 513532
• 关键词: tail; REPRESENTATION; models

摘要

In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies in determining which subsets of variables can take their largest values simultaneously while the others are of smaller order. Our approach to this problem exploits hidden regular variation properties on a collection of nonstandard cones, and provides a new set of indices that reveal aspects of the extremal dependence structure not available through existing measures of dependence. We derive theoretical properties of these indices, demonstrate their utility through a series of examples, and develop methods of inference that also estimate the proportion of extremal mass associated with each cone. We apply the methods to river flows in the U.K., estimating the probabilities of different subsets of sites being large simultaneously.