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



Yun, Seok-Hoon

  • 발행 : 2008.09.30


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.


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


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