KAUST DepartmentThuwal, Saudi Arabia
Permanent link to this recordhttp://hdl.handle.net/10754/621417
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AbstractWe introduce a density regression model for the spectral density of a bivariate extreme value distribution, that allows us to assess how extremal dependence can change over a covariate. Inference is performed through a double kernel estimator, which can be seen as an extension of the Nadaraya–Watson estimator where the usual scalar responses are replaced by mean constrained densities on the unit interval. Numerical experiments with the methods illustrate their resilience in a variety of contexts of practical interest. An extreme temperature dataset is used to illustrate our methods. © 2016 Springer-Verlag Berlin Heidelberg
CitationCastro Camilo D, de Carvalho M (2016) Spectral density regression for bivariate extremes. Stoch Environ Res Risk Assess. Available: http://dx.doi.org/10.1007/s00477-016-1257-z.
PublisherSpringer Science + Business Media