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Abstract Details
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Activity Number:
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76
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Type:
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Contributed
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Date/Time:
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Sunday, July 31, 2011 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Risk Analysis
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| Abstract - #300883 |
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Title:
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Spectral Density Ratio Models for Multivariate Extremes
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Author(s):
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Miguel de Carvalho*+ and Anthony Davison
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Companies:
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Ecole Polytechnique Fédérale de Lausanne, Swiss Federal Institute of Technology and Ecole Polytechnique Fédérale de Lausanne, Swiss Federal Institute of Technology
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Address:
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, , , Switzerland
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Keywords:
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Atmospheric Temperature ;
Empirical Likelihood ;
Exponential Tilt ;
Multivariate Extreme Values ;
Spectral Distribution ;
Semiparametric Modelling
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Abstract:
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The 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.
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