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Prediction regions for bivariate extreme events

Hall, Peter; Tajvidi, Nader

Description

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]

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
URI: http://hdl.handle.net/1885/87519
Source: Australian and New Zealand Journal of Statistics

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