Influence measures and robust estimators of dependence in multivariate extremes |
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Authors: | Yu-Ling Tsai Duncan J Murdoch Debbie J Dupuis |
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Institution: | 1.Department of Statistical and Actuarial Sciences,University of Western Ontario,London,Canada;2.Department of Management Sciences,HEC Montreal,Montreal,Canada |
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Abstract: | We develop a simple influence measure to assess whether Bayesian estimators in multivariate extreme value problems are sensitive
to outliers. The proposed measure is easy to compute by importance sampling and successfully captures two effects on the functional:
the “data effect” and the “parameter uncertainty effect”. We also propose a new Bayesian estimator which is easy to implement
and is robust. The methods are tested and illustrated using simulated data and then applied to stock market data. |
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