Efficient inference and simulation for elliptical Pareto processes

DOI10.1093/BIOMET/ASV045MaRDI QIDQ110572zbMATH OpenOpenAlexFDO

Authors Emeric Thibaud, T. Opitz, Thomas Opitz

Publication date 26 October 2015

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.0168

zbMATH Keywords

simulationextreme value theorycensored likelihoodelliptical extremesextremal-\(t\) processPareto processprecipitation extremes

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Abstract: Recent advances in extreme value theory have established $ell$-Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. Here we provide methods for the practical modelling of data based on a tractable yet flexible dependence model. We introduce the class of elliptical $ell$-Pareto processes, which arise as the limit of threshold exceedances of certain elliptical processes characterized by a correlation function and a shape parameter. An efficient inference method based on maximizing a full likelihood with partial censoring is developed. Novel procedures for exact conditional and unconditional simulation are proposed. These ideas are illustrated using precipitation extremes in Switzerland.

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Cited in

(58)

• A Space-Time Skew-t Model for Threshold Exceedances
• Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes
• Non-stationary dependence structures for spatial extremes
• Modeling Spatial Processes with Unknown Extremal Dependence Class
• Estimating high-resolution red sea surface temperature hotspots, using a low-rank semiparametric spatial model
• Distributed Inference for Spatial Extremes Modeling in High Dimensions
• Multivariate peaks-over-threshold with latent variable representations of generalized Pareto vectors
• Advances in statistical modeling of spatial extremes
• A modeler's guide to extreme value software
• High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields
• A Spatial Markov Model for Climate Extremes
• High-dimensional inference using the extremal skew-\(t\) process
• Exploration and inference in spatial extremes using empirical basis functions
• Spatial Modeling and Future Projection of Extreme Precipitation Extents
• A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes
• Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
• Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations
• Spatial extremes and stochastic geometry for Gaussian-based peaks-over-threshold processes
• Hierarchical space-time modeling of asymptotically independent exceedances with an application to precipitation data
• Semi-parametric modeling of excesses above high multivariate thresholds with censored data
• Bayesian space-time gap filling for inference on extreme hot-spots: an application to Red Sea surface temperatures
• Spatial modeling of extremes and an angular component
• A spliced gamma-generalized Pareto model for short-term extreme wind speed probabilistic forecasting
• Semiparametric estimation for isotropic max-stable space-time processes
• mev
• mvPot
• A hierarchical max-infinitely divisible spatial model for extreme precipitation
• Censored pairwise likelihood-based tests for mixture parameter of spatial max-mixture models
• Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
• A hierarchical Bayesian non-asymptotic extreme value model for spatial data
• Space-time trends and dependence of precipitation extremes in north-western Germany
• INLA goes extreme: Bayesian tail regression for the estimation of high spatio-temporal quantiles
• High-dimensional peaks-over-threshold inference
• Authors' reply to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Alexa A. Sochaniwsky and Paul D. Mcnicholas's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Stefano Rizzelli's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Emilio Porcu, Horst Simon, and Youssef Wehbe's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Jonathan Koh's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Anthony C. Davison and Raphaël de Fondeville's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Miriam Cuba, Daniela Castro-Camilo, and Marian Scott's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Peter F. Craigmile, Peter Guttorp, and Thordis l. Thorarinsdottir's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Jorge Castillo-Mateo, Alan E. Gelfand, Ana C. Cebrián, and Jesús Asín's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Jordan Richards, Myung Won Lee, Viviana Carcaiso, and Miguel de Carvalho's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Richard Smith's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Seconder of the vote of thanks to Healy et al. and contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Proposer of the vote of thanks to Healy et al. and contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
• Inference for extreme spatial temperature events in a changing climate with application to Ireland
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• Neural networks for parameter estimation in intractable models
• Likelihood estimators for multivariate extremes
• Testing for changes in the tail behavior of Brown-Resnick Pareto processes
• Efficient Modeling of Spatial Extremes over Large Geographical Domains
• A horse race between the block maxima method and the peak-over-threshold approach
• Extremes on river networks
• Tail correlation functions of max-stable processes
• The realization problem for tail correlation functions
• Full likelihood inference for max-stable data
• The spectrogram: a threshold-based inferential tool for extremes of stochastic processes

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