论文标题

在渐近独立的极端建模非平稳性

Modelling non-stationarity in asymptotically independent extremes

论文作者

Murphy-Barltrop, C. J. R., Wadsworth, J. L.

论文摘要

在许多实际应用中,评估环境变量组合的共同影响对于风险管理和结构设计分析很重要。当这种变量同时考虑时,非平稳性可以在边际分布和依赖性结构中都存在,从而导致复杂的数据结构。在极端情况下,尽管捕获此功能对于量化关节影响很重要,但很少有人提出对极端依赖趋势进行建模趋势的方法。此外,大多数提出的技术仅适用于表现出渐近依赖性的数据结构。由观察到的英国气候预测数据的依赖性趋势的促进,我们提出了一个新型的半参数建模框架,用于双变量极端依赖结构。该框架使我们能够捕获表现出渐近独立性数据的各种依赖趋势。当应用于气候投影数据集时,我们的模型检测观测值的显着依赖趋势,并与边际非平稳性的模型结合使用,可用于在未来时间点产生双变量风险度量的估计。

In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can exist within both the marginal distributions and dependence structure, resulting in complex data structures. In the context of extremes, few methods have been proposed for modelling trends in extremal dependence, even though capturing this feature is important for quantifying joint impact. Moreover, most proposed techniques are only applicable to data structures exhibiting asymptotic dependence. Motivated by observed dependence trends of data from the UK Climate Projections, we propose a novel semi-parametric modelling framework for bivariate extremal dependence structures. This framework allows us to capture a wide variety of dependence trends for data exhibiting asymptotic independence. When applied to the climate projection dataset, our model detects significant dependence trends in observations and, in combination with models for marginal non-stationarity, can be used to produce estimates of bivariate risk measures at future time points.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源