Mixed model-based additive models for sample extremes

S.A. Padoan and M.P. Wand

Statistics & Probability Letters, 2008, vol. 78, issue 17, 2850-2858

Abstract: We consider additive models fitting and inference when the response variable is a sample extreme. Non-linear covariate effects are handled using the mixed model representation of penalised splines. A fitting algorithm based on likelihood approximations is derived. The efficacy of the resulting methodology is demonstrated via application to simulated and real data.

Date: 2008
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