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Activity Number: 530
Type: Topic Contributed
Date/Time: Thursday, August 10, 2006 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #305657
Title: Variance Reduction in Multiparameter Likelihood Models
Author(s): Liang Peng*+ and Ming-Yen Cheng
Companies: Georgia Institute of Technology and National Taiwan University
Address: School of Mathematics, Atlanta, GA, 30332-0160,
Keywords: bootstrap ; extreme value distribution ; local likelihood ; local linear MLE ; variance reduction
Abstract:

There is an increasing interest in employing multivariate likelihood models to investigate trends of sample extremes in environmental statistics. When sample maxima are modeled by a generalized extreme value distribution, the sample size is not large in general and local likelihood estimation exhibits a large variation. In this paper, variance reduction techniques are employed to improve the efficiency of inference. An application to annual maximum temperature shows our methods are effective.

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