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Start Over Author "Daniel Cooley" Journal biometrika
3 results on '"Daniel Cooley"'

1. A sum characterization of hidden regular variation with likelihood inference via expectation-maximization

Author

Grant B. Weller and Daniel Cooley

Subjects
Statistics and Probability, Multivariate statistics, Applied Mathematics, General Mathematics, Monte Carlo method, Tail dependence, Agricultural and Biological Sciences (miscellaneous), Measure (mathematics), Combinatorics, Expectation–maximization algorithm, Applied mathematics, Statistics, Probability and Uncertainty, General Agricultural and Biological Sciences, Extreme value theory, Equivalence (measure theory), Independence (probability theory), Mathematics
Abstract

A fundamental deficiency of classical multivariate extreme value theory is the inability to distinguish between asymptotic independence and exact independence. In this work, we examine multivariate threshold modelling in the framework of regular variation on cones. Tail dependence is described by a limiting measure, which in some cases is degenerate on joint tail regions despite strong subasymptotic dependence in such regions. Hidden regular variation, a higher-order tail decay on these regions, offers a refinement of the classical theory. We develop a representation of random vectors possessing hidden regular variation as the sum of independent regular varying components. The representation is shown to be asymptotically valid via a multivariate tail equivalence result. We develop a likelihood-based estimation procedure from this representation via a Monte Carlo expectation-maximization algorithm which has been modified for tail estimation. The method is demonstrated on simulated data and applied to air pollution measurements.

Published
2014

2. Modelling pairwise dependence of maxima in space

Author

Daniel Cooley, Jean Diebolt, Philippe Naveau, Armelle Guillou, Laboratoire des Sciences du Climat et de l'Environnement [Gif-sur-Yvette] (LSCE), Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Université de Versailles Saint-Quentin-en-Yvelines (UVSQ), Extrèmes : Statistiques, Impacts et Régionalisation (ESTIMR), Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Université de Versailles Saint-Quentin-en-Yvelines (UVSQ), Institut de Recherche Mathématique Avancée (IRMA), Université de Strasbourg (UNISTRA)-Centre National de la Recherche Scientifique (CNRS), Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA), Centre National de la Recherche Scientifique (CNRS)-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Fédération de Recherche Bézout-Université Paris-Est Marne-la-Vallée (UPEM), Université Paris-Saclay-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-Centre National de la Recherche Scientifique (CNRS), Université Louis Pasteur - Strasbourg I-Centre National de la Recherche Scientifique (CNRS), Université Paris-Est Marne-la-Vallée (UPEM)-Fédération de Recherche Bézout-Université Paris-Est Créteil Val-de-Marne - Paris 12 (UPEC UP12)-Centre National de la Recherche Scientifique (CNRS), Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS), and Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Université de Versailles Saint-Quentin-en-Yvelines (UVSQ)-Commissariat à l'énergie atomique et aux énergies alternatives (CEA)-Institut national des sciences de l'Univers (INSU - CNRS)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)

Subjects
Statistics and Probability, 010504 meteorology & atmospheric sciences, General Mathematics, Copula (linguistics), Geostatistics, 01 natural sciences, Regular grid, 010104 statistics & probability, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], Statistics, Statistics::Methodology, Statistical physics, 0101 mathematics, Extreme value theory, Variogram, ComputingMilieux_MISCELLANEOUS, 0105 earth and related environmental sciences, Mathematics, Applied Mathematics, Estimator, [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], Agricultural and Biological Sciences (miscellaneous), 13. Climate action, Pairwise comparison, Statistics, Probability and Uncertainty, General Agricultural and Biological Sciences, Maxima
Abstract

We model pairwise dependence of temporal maxima, such as annual maxima of precipitation, that have been recorded in space, either on a regular grid or at irregularly spaced locations. The construction of our estimators stems from the variogram concept. The asymptotic properties of our pairwise dependence estimators are established through properties of empirical processes. The performance of our approach is illustrated by simulations and by the treatment of a real dataset. In addition to bringing new results about the asymptotic behaviour of copula estimators, the latter being linked to first-order variograms, one main advantage of our approach is to propose a simple connection between extreme value theory and geostatistics. Copyright 2009, Oxford University Press.

Published
2009

3. Modelling pairwise dependence of maxima in space.

Author

Philippe Naveau, Armelle Guillou, Daniel Cooley, and Jean Diebolt

Subjects
RANDOM variables, DISTRIBUTION (Probability theory), EXTREME value theory, MATHEMATICAL variables
Abstract

We model pairwise dependence of temporal maxima, such as annual maxima of precipitation, that have been recorded in space, either on a regular grid or at irregularly spaced locations. The construction of our estimators stems from the variogram concept. The asymptotic properties of our pairwise dependence estimators are established through properties of empirical processes. The performance of our approach is illustrated by simulations and by the treatment of a real dataset. In addition to bringing new results about the asymptotic behaviour of copula estimators, the latter being linked to first-order variograms, one main advantage of our approach is to propose a simple connection between extreme value theory and geostatistics. [ABSTRACT FROM AUTHOR]

Published
2009
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