【摘要】 极值分布在地震、洪灾和其它自然灾害的预测中是非常有用的.在许多应用方面,很有必要对散度建模.本文推广经典极值回归模型,研究了联合位置与散度模型,并提出了一种同时对位置模型和散度模型的变量选择方法.同时证明了惩罚极大似然估计具有相合性和oracle性质,通过随机模拟研究了所提出方法的有限样本性质.更多还原

【Abstract】 The extreme-value distribution is very useful in predicting the probability that an extreme earthquake,flood or other natural disaster will occur.In many applications,there is a great need to model the dispersion.In this paper,a unified procedure is proposed to simultaneously select significant variables in joint location and dispersion models which provide a useful extension of the general extreme-value regression model.It is further shown that the presented penalized maximum likelihood estimator enjoys the consistency and the oracle property.Numerical simulation is conducted to examine the finite sample properties of the proposed method.更多还原