Influence measures and robust estimators of dependence in multivariate extremes

DOI10.1007/S10687-010-0114-6zbMath1329.62148OpenAlexW1970168529MaRDI QIDQ906622

Yu-Ling Tsai, Duncan J. Murdoch, Debbie J. Dupuis

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-010-0114-6

zbMATH Keywords

multivariate extremesBayesian robustnesscontaminationinfluence measureasymptotic dependence

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

Related Items (3)

On distributionally robust extreme value analysis ⋮ Multivariate extreme value theory -- a tutorial ⋮ Detecting and diagnosing prior and likelihood sensitivity with power-scaling

Uses Software

• BayesDA

Cites Work

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• Bivariate extreme statistics. I
• A simple diagnostic tool for local prior sensitivity
• Effects of mis-specification in bivariate extreme value problems
• Robust Bayesian diagnostics
• Modelling dependence uncertainty in the extremes of Markov chain
• Statistics for near independence in multivariate extreme values
• Markov chain models for threshold exceedances
• Models and inference for uncertainty in extremal dependence

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