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Estimating the Components of a Mixture of Extremal Distributions under Strong Dependence

¹ Departamento Modelización Estadística de Datos e Inteligenica Artificial (MEDIA), CURE, Rocha, Universidad de la República, Rocha, Uruguay
² Departamento Modelización Estadística de Datos e Inteligenica Artificial (MEDIA), CURE, Rocha, Universidad de la República, Rocha, Uruguay
³ Departamento Modelización Estadística de Datos e Inteligenica Artificial (MEDIA), CURE, Rocha, Universidad de la República, Rocha, Uruguay

Advances in Pure Mathematics·Volume 13 (2023)·Pages 425–441·Published 12 July 2023·DOI10.4236/apm.2023.137027

Abstract

In this paper, we provide a method based on quantiles to estimate the parameters of a finite mixture of Fréchet distributions, for a large sample of strongly dependent data. This is a situation that appears when dealing with environmental data and there was a real need of such method. We validate our approach by means of estimation and goodness-of-fit testing over simulated data, showing an accurate performance.

KeywordsMixture of Extremal DistributionsStrongly Dependent Data

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Estimating the Components of a Mixture of Extremal Distributions under Strong Dependence

Abstract

References (19)