 Penalized likelihood inference in extreme value analysesFrancesco Pauli and Stuart Coles Journal of Applied Statistics, 2001, vol. 28, issue 5, 547-560 Abstract: Models for extreme values are usually based on detailed asymptotic argument, for which strong ergodic assumptions such as stationarity, or prescribed perturbations from stationarity, are required. In most applications of extreme value modelling such assumptions are not satisfied, but the type of departure from stationarity is either unknown or complex, making asymptotic calculations unfeasible. This has led to various approaches in which standard extreme value models are used as building blocks for conditional or local behaviour of processes, with more general statistical techniques being used at the modelling stage to handle the non-stationarity. This paper presents another approach in this direction based on penalized likelihood. There are some advantages to this particular approach: the method has a simple interpretation; computations for estimation are relatively straightforward using standard algorithms; and a simple reinterpretation of the model enables broader inferences, such as confidence intervals, to be obtained using MCMC methodology. Methodological details together with applications to both athletics and environmental data are given. Date: 2001 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:28:y:2001:i:5:p:547-560 Ordering information: This journal article can be ordered from DOI: 10.1080/02664760120047889 Access Statistics for this article Journal of Applied Statistics is currently edited by Robert Aykroyd More articles in Journal of Applied Statistics from Taylor & Francis Journals |
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