Modelling Block Maxima With the Blended Generalised Extreme Value Distribution

Vandeskog, S. M., Martino, S. and Castro-Camilo, D. (2021) Modelling Block Maxima With the Blended Generalised Extreme Value Distribution. In: 22nd European Young Statisticians Meeting, 06-10 Sep 2021,

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The blended generalised extreme value (bGEV) distribution has been proposed as an alternative to the generalised extreme value (GEV) distribution for modelling block maxima. Simulation studies are performed to analyse the performance of the bGEV distribution when the data follow the GEV distribution. We propose a new hierarchical two-step model for block maxima that borrows strength from the peaks over threshold method for less wasteful inference. Simulation studies are implemented to evaluate the performance of the two-step model. We find that the bGEV distribution is a promising alternative to the GEV distribution when modelling block maxima, and that the two-step model is able to improve inference by using more information from the available data.

Item Type:Conference Proceedings
Glasgow Author(s) Enlighten ID:Castro-Camilo, Dr Daniela
Authors: Vandeskog, S. M., Martino, S., and Castro-Camilo, D.
College/School:College of Science and Engineering > School of Mathematics and Statistics > Statistics
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