[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2008.15.5.793

The Likelihood for a Two-Dimensional Poisson Exceedance Point Process Model

Yun, Seok-Hoon (Department of Applied Statistics, University of Suwon)

Publication Information

Communications for Statistical Applications and Methods / v.15, no.5, 2008 , pp. 793-798 More about this Journal

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.

Keywords

Generalized extreme value distribution; generalized Pareto distribution; exceedance point process; non-homogeneous Poisson process;

Citations & Related Records

Reference

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