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Investigação

Spectral density ratio models for multivariate extremes

TítuloSpectral density ratio models for multivariate extremes
Publication TypeUnpublished
Year of Publication2011
Authorsde Carvalho M, Davison AC
Series TitlePreprint
AbstractThe joint modelling of extremal events is of increasing attention. This paper develops a semiparametric model for the situation where several multivariate extremal distributions are linked through the action of a covariate on a baseline distrbution. Empirical likelihood inference and estimation for this spectral density ratio model are discussed, and an application is given to pairs of extreme temperatures at different sites, under forest cover and in the open.
URLhttp://www.dm.fct.unl.pt/sites/www.dm.fct.unl.pt/files/preprints/2011/3_11.pdf