Prediction regions for bivariate extreme events
This paper suggests using a mixture of parametric and non-parametric methods to construct prediction regions in bivariate extreme-value problems. The non-parametric part of the technique is used to estimate the dependence function, or copula, and the parametric part is employed to estimate the marginal distributions. A bootstrap calibration argument is suggested for reducing coverage error. This combined approach is compared with a more parametric one, relative to which it has the advantages of...[Show more]
|Collections||ANU Research Publications|
|Source:||Australian and New Zealand Journal of Statistics|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.