Modelling Bivariate Extremes in a Region

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  2. Dr David Walshaw
Author(s)Walshaw D; Smith EL
Editor(s)Bayarri, M.J., Berger, J.O., Merbardo, J.M., Dawid, A.P., Heckerman, D., Smith, A.F.M., West, M.
Publication type Conference Proceedings (inc. Abstract)
Conference NameBayesian Statistics 7: Proceedings of the Seventh Valencia International Meeting, Dedicated to Dennis V. Lindley
Conference LocationValencia, Spain
Year of Conference2003
Legacy Date2-6 June 2002
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NotesThis paper is the first to consider Bayesian inference for bivariate extremes. Working with rainfall data from 11 sites in southwest England, bivariate extreme value models are fitted to each pair of locations using informative priors based on expert beliefs. By modelling the dependence parameter in the models as a function of distance, a model for bivariate extremes obtianed at any two locations within a region is developed.