Modelling non-stationarity in asymptotically independent extremes

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

Abstract

In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can exist within both the marginal distributions and dependence structure, resulting in complex data structures. In the context of extremes, few methods have been proposed for modelling trends in extremal dependence, even though capturing this feature is important for quantifying joint impact. Moreover, most proposed techniques are only applicable to data structures exhibiting asymptotic dependence. Motivated by observed dependence trends of data from the UK Climate Projections, a novel semi-parametric modelling framework for bivariate extremal dependence structures is proposed. This framework can capture a wide variety of dependence trends for data exhibiting asymptotic independence. When applied to the climate projection dataset, the model detects significant dependence trends in observations and, in combination with models for marginal non-stationarity, can be used to produce estimates of bivariate risk measures at future time points.

Details

Original languageEnglish
Article number108025
Pages (from-to)1-18
Number of pages18
JournalComputational statistics & data analysis
Volume199
Publication statusPublished - Nov 2024
Peer-reviewedYes

External IDs

Scopus 85198566456

Keywords

Sustainable Development Goals