A Proxy-likelihood Estimator for Multivariate Extremes Models with Intractable Likelihoods
Abstract
Many multivariate extremes models have intractable likelihoods requiring practitioners to use alternative fitting methods. The tail pairwise dependence is a summary measure of the dependence in the tail of any multivariate regular variation model. We develop an objective function for model fitting that relies on the tail pairwise dependence as the link between our desired model (that does not have a likelihood) and a proxy model (that has a likelihood). We employ the bivariate Hüsler-Reiss distribution as the proxy model and show that there is a one-to-one relationship between the dependence parameter and the tail pairwise dependence value. Our proxy-likelihood estimator is fully developed for the transformed linear extremes time series (TLETS) models of Mhatre and Cooley (2024) and is applied to the wildfire weather data of Wixson and Cooley (2023). Simulations demonstrate that the proxy-likelihood is a competitive TPD estimator, is better at fitting TLETS models than existing methods, and is amenable to likelihood-based model selection techniques. Our estimator has smaller bias when tail dependence is weak than existing estimators reducing the need for bias adjustments. Without these adjustments, we note an increase in the tail dependence in weather-related wildfire risk between past and present climates.
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BibTeX
@misc{wixson2026proxylikelihood,
title = {{A Proxy-likelihood Estimator for Multivariate Extremes Models with Intractable Likelihoods}},
author = {Troy P. Wixson and Daniel Cooley},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2609.30244},
eprint = {2609.30244},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2609.30244},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - A Proxy-likelihood Estimator for Multivariate Extremes Models with Intractable Likelihoods
AU - Troy P. Wixson
AU - Daniel Cooley
PY - 2026
DA - 2026/09/24
PB - arXiv
DO - 10.48550/arxiv.2609.30244
UR - https://arxiv.org/abs/2609.30244
AB - Many multivariate extremes models have intractable likelihoods requiring practitioners to use alternative fitting methods. The tail pairwise dependence is a summary measure of the dependence in the tail of any multivariate regular variation model. We develop an objective function for model fitting that relies on the tail pairwise dependence as the link between our desired model (that does not have a likelihood) and a proxy model (that has a likelihood). We employ the bivariate Hüsler-Reiss distribution as the proxy model and show that there is a one-to-one relationship between the dependence parameter and the tail pairwise dependence value. Our proxy-likelihood estimator is fully developed for the transformed linear extremes time series (TLETS) models of Mhatre and Cooley (2024) and is applied to the wildfire weather data of Wixson and Cooley (2023). Simulations demonstrate that the proxy-likelihood is a competitive TPD estimator, is better at fitting TLETS models than existing methods, and is amenable to likelihood-based model selection techniques. Our estimator has smaller bias when tail dependence is weak than existing estimators reducing the need for bias adjustments. Without these adjustments, we note an increase in the tail dependence in weather-related wildfire risk between past and present climates.
ER -