Modelling across extremal dependence classes
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Abstract (arXiv)
Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent. Most available statistical models suit one or other of these cases, but not both, resulting in a stage in the inference that is unaccounted for, but can substantially impact subsequent extrapolation. Existing modelling solutions to this problem are either applicable only on sub-domains, or appeal to multiple limit theories. We introduce a unified representation for bivariate extremes that encompasses a wide variety of dependence scenarios, and applies when at least one variable is large. Our representation motivates a parametric model that encompasses both dependence classes. We implement a simple version of this model, and show that it performs well in a range of settings.
Key facts. Cited by 5 papers in the map (data through 14 Oct 2026). First posted on arXiv 21 Aug 2014.
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Citing papers per year: 2021: 1; 2022: 0; 2023: 1; 2024: 0; 2025: 3.
5 papers.
- 2021Concentration bounds for the empirical angular measure with statistical learning applicationscited by 8
- 2023Neural Bayes estimators for censored inference with peaks-over-threshold modelscited by 6
- 2025Generative Machine Learning for Multivariate Angular Simulationcited by 3
- 2025Neural Bayes estimation and selection for complex bivariate extremal dependence modelscited by 0
- 2025Modelling non-stationary extremal dependence through a geometric approachcited by 0
- 2025Modelling non-stationary extremal dependence through a geometric approach26 Sep 2025
- 2025Generative Machine Learning for Multivariate Angular Simulation28 Apr 2025
- 2025Neural Bayes estimation and selection for complex bivariate extremal dependence models29 Mar 2025
- 2023Neural Bayes estimators for censored inference with peaks-over-threshold models27 Jun 2023
- 2021Concentration bounds for the empirical angular measure with statistical learning applications7 Apr 2021