5 papers · 1 filter
Gaussian mixture copulas for flexible dependence modelling in the body and tails of joint distributions
LÃdia M. André, Jonathan A. Tawn
Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme…
Automated threshold selection and associated inference uncertainty for univariate extremes
Conor Murphy, Jonathan A. Tawn, Zak Varty
Threshold selection is a fundamental problem in any threshold-based extreme value analysis. While models are asymptotically motivated, selecting an appropriate threshold for finite…
Estimating the limiting shape of bivariate scaled sample clouds: with additional benefits of self-consistent inference for existing extremal dependence properties
Emma S. Simpson, Jonathan A. Tawn
The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme valu…
Estimating Metocean Environments Associated with Extreme Structural Response to Demonstrate the Dangers of Environmental Contour Methods
Matthew Speers, David Randell, Jonathan Angus Tawn +1
Extreme value analysis (EVA) uses data to estimate long-term extreme environmental conditions for variables such as significant wave height and period, for the design of marine str…
Extremal properties of max-autoregressive moving average processes for modelling extreme river flows
Eleanor D'Arcy, Jonathan A Tawn
Max-autogressive moving average (Max-ARMA) processes are powerful tools for modelling time series data with heavy-tailed behaviour; these are a non-linear version of the popular au…