Models for Dependent Extremes Using Stable Mixtures

Anne‐laure Fougères, John P. Nolan and Holger Rootzén

Scandinavian Journal of Statistics, 2009, vol. 36, issue 1, 42-59

Abstract: Abstract. This paper unifies and extends results on a class of multivariate extreme value (EV) models studied by Hougaard, Crowder and Tawn. In these models, both unconditional and conditional distributions are themselves EV distributions, and all lower‐dimensional marginals and maxima belong to the class. One interpretation of the models is as size mixtures of EV distributions, where the mixing is by positive stable distributions. A second interpretation is as exponential‐stable location mixtures (for Gumbel) or as power‐stable scale mixtures (for non‐Gumbel EV distributions). A third interpretation is through a peaks over thresholds model with a positive stable intensity. The mixing variables are used as a modelling tool and for better understanding and model checking. We study EV analogues of components of variance models, and new time series, spatial and continuous parameter models for extreme values. The results are applied to data from a pitting corrosion investigation.

Date: 2009
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https://doi.org/10.1111/j.1467-9469.2008.00613.x

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