Statistical inference for radially-stable generalized Pareto distributions and return level-sets in geometric extremes
| Autor: | Papastathopoulos, Ioannis, de Monte, Lambert, Campbell, Ryan, Rue, Haavard |
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| Rok vydání: | 2023 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We use a functional analogue of the quantile function for probability measures admitting a continuous Lebesgue density on $\mathbb{R}^d$ to characterise the class of non-trivial limit distributions of radially recentered and rescaled multivariate exceedances. A new class of multivariate distributions is identified, termed radially-stable generalised Pareto distributions, and is shown to admit certain stability properties that permit extrapolation to extremal sets along any direction in cones such as $\mathbb{R}^d$ and $\mathbb{R}_+^d$. Leveraging the limit Poisson point process likelihood of the point process of radially renormalised exceedances, we develop parsimonious statistical models that exploit theoretical links between structural star-bodies and are amenable to Bayesian inference. Our framework sharpens statistical inference by suitably including additional information from the angular directions of the geometric exceedances and facilitates efficient computations in dimensions $d=2$ and $d=3$. Additionally, it naturally leads to the notion of return level-set, which is a canonical quantile set expressed in terms of its average recurrence interval, and a geometric analogue of the uni-dimensional return level. We illustrate our methods with a simulation study showing superior predictive performance of probabilities of rare events, and with two case studies, one associated with river flow extremes, and the other with oceanographic extremes. Comment: 80 pages, 32 figures |
| Databáze: | arXiv |
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