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research article

A mixture model for multivariate extremes

Boldi, M.-O.  
•
Davison, A. C.  
2007
Journal of the Royal Statistical Society, series B

The spectral density function plays a key role in fitting the tail of multivariate extremal data and so in estimating probabilities of rare events. This function satisfies moment constraints but unlike the univariate extreme value distributions has no simple parametric form. Parameterized subfamilies of spectral densities have been suggested for use in applications, and nonparametric estimation procedures have been proposed, but semiparametric models for multivariate extremes have hitherto received little attention. We show that mixtures of Dirichlet distributions satisfying the moment constraints are weakly dense in the class of all nonparametric spectral densities, and discuss frequentist and Bayesian inference in this class based on the EM algorithm and reversible jump Markov chain Monte Carlo simulation. We illustrate the ideas using simulated and real data.

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