SEMINÁRIO: Nonstationary Extremal Dependence Structures: Time and Space


  • Prof. Miguel de Carvalho – Pontificia Universidad Católica de Chile
  • FCUL – Campo Grande – Bloco C6 Piso 4 – Sala: 6.4.30 – 15:30h
  • Segunda-feira, 30 de Novembro de 2015

Modeling nonstationarity in marginal distributions has been the focus of much recent literature in applied extreme value modeling. The simplest approach was popularized long ago by Davison and Smith (1990), and it is based on indexing the location and scale parameters of the generalized extreme value distribution by a predictor. And how to model ‘nonstationary multivariate/spatial extremes’ if one must? Surprisingly, by comparison to the marginal case, approaches to modelling nonstationarity in the extremal dependence structure have received relatively little attention. In this talk, I will discuss approaches for modeling nonstationary extremal dependence structures. The approaches to be discussed can be regarded as natural extensions of the Davison–Smith paradigm to the multivariate and spatial contexts.