Displaying similar documents to “Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology”

Generalized logistic model and its orthant tail dependence

Helena Ferreira, Luisa Pereira (2011)

Kybernetika

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The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn [14], Joe and Hu [6] and Fougères et...

Some New Random Effect Models for Correlated Binary Responses

Fodé Tounkara, Louis-Paul Rivest (2014)

Dependence Modeling

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Exchangeable copulas are used to model an extra-binomial variation in Bernoulli experiments with a variable number of trials. Maximum likelihood inference procedures for the intra-cluster correlation are constructed for several copula families. The selection of a particular model is carried out using the Akaike information criterion (AIC). Profile likelihood confidence intervals for the intra-cluster correlation are constructed and their performance are assessed in a simulation experiment....

The extreme value Birnbaum-Saunders model, its moments and an application in biometry

M. Ivette Gomes, Marta Ferreira, Víctor Leiva (2012)

Biometrical Letters

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The Birnbaum-Saunders (BS) model is a life distribution that has been widely studied and applied. Recently, a new version of the BS distribution based on extreme value theory has been introduced, named the extreme value Birnbaum-Saunders (EVBS) distribution. In this article we provide some further details on the EVBS models that can be useful as a supplement to the existing results. We use these models to analyse real survival time data for patients treated with alkylating agents for...

Non-exchangeable random variables, Archimax copulas and their fitting to real data

Tomáš Bacigál, Vladimír Jágr, Radko Mesiar (2011)

Kybernetika

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The aim of this paper is to open a new way of modelling non-exchangeable random variables with a class of Archimax copulas. We investigate a connection between powers of generators and dependence functions, and propose some construction methods for dependence functions. Application to different hydrological data is given.

On the tail dependence in bivariate hydrological frequency analysis

Alexandre Lekina, Fateh Chebana, Taha B. M. J. Ouarda (2015)

Dependence Modeling

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In Bivariate Frequency Analysis (BFA) of hydrological events, the study and quantification of the dependence between several variables of interest is commonly carried out through Pearson’s correlation (r), Kendall’s tau (τ) or Spearman’s rho (ρ). These measures provide an overall evaluation of the dependence. However, in BFA, the focus is on the extreme events which occur on the tail of the distribution. Therefore, these measures are not appropriate to quantify the dependence in the...

Copula approach to residuals of regime-switching models

Anna Petričková, Magda Komorníková (2012)

Kybernetika

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The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.