Models and inference for uncertainty in extremal dependence

Biometrika

Volumn 89, Issue 1, 2002, Pages 183-196

  Coles, Stuart ^a   Pauli, Francesco ^b  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b UNIVERSITY OF TRIESTE   (Italy)

Author keywords

Asymptotic independence; Bayesian inference; Mixture model; Multivariate extreme; Oceanographic data

Indexed keywords

EID: 24944445242     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/89.1.183     Document Type: Article

References (15)

1. BORTOT, P., COLES, S. G. & TAWN, J. A. (2000). The multivariate Gaussian tail model: an application to oceanographic data. Appl. Statist. 49, 31-49.
2. CLAYTON, D. J. (1978). A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika 65, 141-5.
3. COLES, S. G. & TAWN, J. A. (1991). Modelling extreme multivariate events. J. R. Statist. Soc. B 53, 377-92.
4. COLES, S. G. & TAWN, J. A. (1994). Statistical methods for multivariate extremes: an application to structural design (with Discussion). Appl. Statist. 43, 1-48.
5. COLES, S. G., HEFFERNAN, J. & TAWN, J. A. (1999). Dependence measures for multivariate extremes. Extremes 2, 339-65.
6. DAVISON, A. C. & SMIITH, R. L. (1990). Models for exceedances over high thresholds (with Discussion). J. R. Statist. Soc. B 52, 393-442.
7. DE HAAN, L. & RESNICK, S. I. (1977). Limit theory for multivariate sample extremes. Z. Wahr. verw. Geb. 40, 317-37.
8. GREEN, P. J. (1995). Reversible jump Markov chain Monte Carlo computation and Bayesian model determination. Biometrika 82, 711-32.
9. JOE, H., SMITH, R. L. & WEISSMAN, I. (1992). Bivariate threshold methods for extremes. J. R. Statist. Soc. B 54, 171-83.
10. LEDFORD, A. & TAWN, J. A. (1996). Statistics for near independence in multivariate extreme values. Biometrika 83, 169-87.
11. LEDFORD, A. & TAWN, J. A. (1997). Modelling dependence within joint tail regions. J. R. Statist. Soc. B 59, 475-99.
12. MANATUNGA, A. K. & OAKES, D. (1996). A measure of association for bivariate frailty distributions. J. Mult. Anal. 56, 60-74.
13. RESNICK, S. I. (1987). Extreme Values, Regular Variation, and Point Processes. New York: Springer Verlag.
14. SIBUYA, M. (1960). Bivariate extreme statistics. Ann. Inst. Statist. Math. 11, 195-210.
15. SMITH, R. L., TAWN, J. A. & COLES, S. G. (1997). Markov chain models for threshold exceedances. Biometrika 84, 249-68.