C. J. R. Murphy-Barltrop, J. L. Wadsworth, E. F. Eastoe
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New estimation methods for extremal bivariate return curves
In the multivariate setting, estimates of extremal risk measures are important in many contexts, such as environmental planning and structural engineering. In this paper, we propose new estimation methods for extremal bivariate return curves, a risk measure that is the natural bivariate extension to a return level. Unlike several existing techniques, our estimates are based on bivariate extreme value models that can capture both key forms of extremal dependence. We devise tools for validating return curve estimates, as well as representing their uncertainty, and compare a selection of curve estimation techniques through simulation studies. We apply the methodology to two metocean data sets, with diagnostics indicating generally good performance.
期刊介绍:
Environmetrics, the official journal of The International Environmetrics Society (TIES), an Association of the International Statistical Institute, is devoted to the dissemination of high-quality quantitative research in the environmental sciences.
The journal welcomes pertinent and innovative submissions from quantitative disciplines developing new statistical and mathematical techniques, methods, and theories that solve modern environmental problems. Articles must proffer substantive, new statistical or mathematical advances to answer important scientific questions in the environmental sciences, or must develop novel or enhanced statistical methodology with clear applications to environmental science. New methods should be illustrated with recent environmental data.