Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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The Likelihood for a Two-Dimensional Poisson Exceedance Point Process Model

  • Published : 2008.09.30
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Abstract

Extreme value inference deals with fitting the generalized extreme value distribution model and the generalized Pareto distribution model, which are recently combined to give a single model, namely a two-dimensional non-homogeneous Poisson exceedance point process model. In this paper, we extend the two-dimensional non-homogeneous Poisson process model to include non-stationary effect or dependence on covariates and then derive the likelihood for the extended model.

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References

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