2013-2014 Focus Year on "Measures of Dependence"

Workshop on Measures of Extremal Dependence

May 3rd, 2013

3:50-4:30 Richard A. Davis, Columbia University
Title: Applications of the Extremogram to Time Series and Spatial Processes

Abstract: In this talk, we discuss the application of the extremogram to the modeling of multivariate time series and spatial-temporal processes. Like the autocorrelation function in time series, the extremogram can be used in various phases of the modeling exercise for temporal and spatial processes. First, the extremogram provides a measure of extremal dependence in the data as a function of the time (or spatila) lag. Plots of the extremogram must include confidence bands to assess significant extremal dependence and this can be achieved using permutation procedures and/or block bootstrap procedures. Second, the extremogram can provide an assessment about how well the estimated extremogram matches the population extremogram based on a fitted model. Finally, the extremogram of residuals from a fitted model can be examined to see if extremal dependence has been satisfactorily removed. We illustrate the use of these ideas with several examples.