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Modelling Bivariate Extremes in a Region
Lookup NU author(s)
Dr David Walshaw
Walshaw D; Smith EL
Bayarri, M.J., Berger, J.O., Merbardo, J.M., Dawid, A.P., Heckerman, D., Smith, A.F.M., West, M.
Conference Proceedings (inc. Abstract)
Bayesian Statistics 7: Proceedings of the Seventh Valencia International Meeting, Dedicated to Dennis V. Lindley
Year of Conference
2-6 June 2002
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This 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.
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