Conditional Normal Extreme-Value Copulas
Date: 14 August 2020, Friday
Time: 4pm
Speaker: Dr Pavel Krupskiy (University of Melbourne)
Abstract:
Date: 14 August 2020, Friday
Time: 4pm
Speaker: Dr Pavel Krupskiy (University of Melbourne)
Abstract:
We propose a new class of extreme-value copulas which are extreme-value limits of conditional normal models. Conditional normal models are generalizations of conditional independence models, where the dependence among observed variables is modeled using one unobserved factor. Conditional on this factor, the distribution of these variables is given by the Gaussian copula. This structure allows one to build flexible and parsimonious models for data with complex dependence structures, such as data with spatial or temporal dependence. We study the extreme-value limits of these models and show some interesting special cases of the proposed class of copulas. We develop estimation methods for the proposed models and conduct a simulation study to assess the performance of these algorithms. Finally, we applythese copula models to analyze data on monthly wind maxima and stock return minima.
Link: https://au.bbcollab.com/guest/fcf219c74ac743e89565a9e6e8d349a9
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