B1645
Title: Directional multivariate extremes in environmental phenomena
Authors: Rosa Lillo - Universidad Carlos III de Madrid (Spain) [presenting]
Raul Andres Torres Diaz - Universidad Carlos III de Madrid (Spain)
Henry Laniado Rodas - Universidad EAFIT Medellin (Colombia)
Carlo De Michele - Politecnico di Milano (Italy)
Abstract: Several environmental phenomena can be described by different correlated variables that must be considered jointly in order to be more representative of the nature of these phenomena. For such events, identification of extremes is inappropriate if it is based on marginal analysis. Since there are many references in the literature that propose extremes detection based on copula models, the copula method is generalized by introducing the directional approach. It allows to analyze the data considering all the variables implied in the phenomena, as well as look at the data in interesting directions that can better describe an environmental catastrophe. Advantages and disadvantages of the non-parametric proposal that we introduce and the copula methods are provided. We show with simulated and real data sets how by considering the first principal component direction we can improve the visualization of extremes.
Journal