English

New estimation methods for extremal bivariate return curves

Methodology 2022-10-11 v3 Applications

Abstract

In the multivariate setting, estimates of extremal risk measures are important in many contexts, such as environmental planning and structural engineering. In this paper, we propose new estimation methods for extremal bivariate return curves, a risk measure that is the natural bivariate extension to a return level. Unlike several existing techniques, our estimates are based on bivariate extreme value models that can capture both key forms of extremal dependence. We devise tools for validating return curve estimates, as well as representing their uncertainty, and compare a selection of curve estimation techniques through simulation studies. We apply the methodology to two metocean data sets, with diagnostics indicating generally good performance.

Keywords

Cite

@article{arxiv.2107.01942,
  title  = {New estimation methods for extremal bivariate return curves},
  author = {C. J. R. Murphy-Barltrop and J. L. Wadsworth and E. F. Eastoe},
  journal= {arXiv preprint arXiv:2107.01942},
  year   = {2022}
}

Comments

40 pages (without supplementary), 12 figures, 2 tables

R2 v1 2026-06-24T03:53:42.569Z