mlsanityData to 14 Oct 2026

Joint modelling of the body and tail of bivariate data

arXiv 2209.05795 ↗First posted 13 Sep 2022stat.MEcited by 1

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Abstract (arXiv)

In situations where both extreme and non-extreme data are of interest, modelling the whole data set accurately is important. In a univariate framework, modelling the bulk and tail of a distribution has been extensively studied before. However, when more than one variable is of concern, models that aim specifically at capturing both regions correctly are scarce in the literature. A dependence model that blends two copulas with different characteristics over the whole range of the data support is proposed. One copula is tailored to the bulk and the other to the tail, with a dynamic weighting function employed to transition smoothly between them. Tail dependence properties are investigated numerically and simulation is used to confirm that the blended model is sufficiently flexible to capture a wide variety of structures. The model is applied to study the dependence between temperature and ozone concentration at two sites in the UK and compared with a single copula fit. The proposed model provides a better, more flexible, fit to the data, and is also capable of capturing complex dependence structures.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 13 Sep 2022.

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