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Modelling Bivariate Extremes in a Region

Lookup NU author(s): Dr David Walshaw

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Publication metadata

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)

Publication status: Published

Conference Name: Bayesian Statistics 7: Proceedings of the Seventh Valencia International Meeting, Dedicated to Dennis V. Lindley

Year of Conference: 2003

Pages: 10

Notes: 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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