Estimating the Components of a Mixture of Extremal Distributions under Strong Dependence
Carolina Crisci, Gonzalo Perera, Lía Sampognaro · Advances in Pure Mathematics · 2023
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.