Work

Statistical models for dynamics in extreme value processes

Year: 2016

Type: preprint

Abstract: We study four different approaches to model time-dependent extremal behavior: dynamics introduced by (a) a state-space model (SSM), (b) a shot-noise-type process with GPD marginals, (c) a copula-based autoregressive model with GPD marginals, and (d) a GLM with GPD marginals (and previous extremal events as regressors). Each of the models is fit against data, and from the fitted data, we simulate corresponding paths according to the respective fitted models. At this simulated data, the respective dependence structure is analyzed in copula plots and judged against its capacity to fit the corresponding inter-arrival distribution.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1602.08974

Authors: Spangl, Bernhard, Desmettre, Sascha, Ruckdeschel, Peter

Institutions: BOKU University, University of Kaiserslautern, Carl von Ossietzky Universität Oldenburg

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funder: Volkswagen Foundation

OpenAlex ID: W2289315684

Cites: 2

Cited by:

Related to: 20