Lecture
Asymptotic Independence Models: Heffernan-Tawn Model
Description
This lecture covers the Heffernan-Tawn model for asymptotic independence, discussing the computation of probabilities for extreme events and the transformation of variables to the Laplace scale. It explores the properties of the model under various conditions and the fitting process using monotone transformations. The lecture also delves into the distinction between asymptotic dependence and independence, highlighting the implications of different parameters on the model's behavior.
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