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Modelling Dependence Within Joint Tail Regions

Anthony W. Ledford and Jonathan A. Tawn
Journal of the Royal Statistical Society. Series B (Methodological)
Vol. 59, No. 2 (1997), pp. 475-499
Published by: Wiley for the Royal Statistical Society
Stable URL: http://www.jstor.org/stable/2346058
Page Count: 25
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Modelling Dependence Within Joint Tail Regions
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Abstract

Standard approaches for modelling dependence within joint tail regions are based on extreme value methods which assume max-stability, a particular form of joint tail dependence. We develop joint tail models based on a broader class of dependence structure which provides a natural link between max-stable models and weaker forms of dependence including independence and negative association. This approach overcomes many of the problems that are encountered with standard methods and is the basis for a Poisson process representation that generalizes existing bivariate results. We apply the new techniques to simulated and environmental data, and demonstrate the marked advantage that the new approach offers for joint tail extrapolation.

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