sobre a precisão das estimativas de máxima verossimilhança nas distribuições bivariadas de valores extremos

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ID: 157505
2003
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Abstract
As distribuições bivariadas de valores extremos surgem como distribuições limites de máximos normalizados. O objetivo na modelagem do comportamento assintótico probabilístico dos extremos é obter boas aproximações para a distribuição bivariada de extremos permitindo o estudo da ocorrência de eventos extremos simultâneos. Quando trabalhamos com amostras pequenas, surgem algumas questões relacionadas à precisão e qualidade das estimativas de máxima verossimilhança dos parâmetros e de outras quantidades derivadas dos modelos bivariados de valores extremos. Neste artigo utilizamos esquemas de reamostragem bootstrap e simulações Monte Carlo para acessar a variabilidade e construir intervalos de confiança para essas estimativas, visando estabelecer o quão confiáveis são as conclusões retiradas das análises feitas com esses modelos. Valores críticos para os testes propostos por Tawn (1988) são também obtidos através de simulações.
The non-degenerated limit distributions of normalized maxima are the so called bivariate extreme value distributions. When modeling the asymptotic probabilistic behavior of extremes the objective is to obtain good approximations for the bivariate extremes distributions allowing the investigation of simultaneous extreme events. Typically the sample sizes are small, and this raises questions related to the quality and accuracy of the maximum likelihood estimates of the parameters and other quantities derived from the models. In this article we use bootstrap resampling schemes and Monte Carlo simulations to assess the variability and to construct confidence intervals for these estimates, in order to establish how reliable are the conclusions drawn from the analyzes based on these models. Critical values for the tests proposed in Tawn (1988) are obtained through simulations.
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Authors ;Alba Regina Moretti;Beatriz Vaz de Melo Mendes
Journal t\"urk ya\csam bilimleri dergisi
Year 2003
DOI
10.1590/S0101-74382003000200004
URL
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382003000200004
Keywords
bootstrap

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