2 code implementations • 1 Feb 2021 • Zak Varty, Jonathan A. Tawn, Peter M. Atkinson, Stijn Bierman
We consider how improvements to data quality over time can be incorporated when selecting a modelling threshold and in the subsequent inference of an extreme value analysis.
Methodology Applications 62G32
no code implementations • 17 Dec 2020 • Emma S. Simpson, Jennifer L. Wadsworth, Jonathan A. Tawn
We also present new theory for a class of higher dimensional vine copulas, constructed from bivariate inverted extreme value copulas.
Statistics Theory Methodology Statistics Theory