Seminars 2008 — Abstracts

Friday, October 3

Speaker: Alec Stephenson, Swindon

Title: Exploiting occurrence times in likelihood inference for componentwise maxima

Abstract: Multivariate extreme value distributions arise as the limiting distributions of normalised componentwise maxima. They are often used to model multivariate data that can be regarded as the componentwise maxima of some unobserved underlying multivariate process. In many applications we have extra information. We often know the locations of the maxima within the underlying process. If the process is temporal this knowledge is frequently available through the dates on which the maxima are recorded. We show how to incorporate this extra information within a model for sea-levels measured at sites on the British coastline.