Diagnostics for pairwise extremal dependence in spatial processes (Q1424684)

This paper deals with diagnostic procedures for identifying the main structure of the dependence of extreme spatial events. The authors consider the class of spatial processes \(\{X(\nu) \}_{\nu\in V}\) in the region \(V\subset R^2\) with marginal distribution \(F_{X(\nu)}(\cdot)\) and such that the marginally standardized process \(F_{X(\nu)}\{X(\nu)\}\) is stationary. Let us consider the stationary spatial process \(\{Z(\nu)\}_{\nu\in V}\), where \(Z(\nu)=-1/\log F_{X(\nu)} \{X(\nu)\}\). For any location \(\nu_{1}, \nu_{2}\in V\), separated by the vector \(\tau=\nu_{2}-\nu_{1}\), because of the stationarity of the process the joint distribution function is \[ \text{Pr}(Z(\nu_{1}) \leq x,\quad Z(\nu_{2}\leq y))= \text{Pr}(Z(\nu)\leq x,\;Z(\nu+ \tau)\leq y)=F_{\tau}(x,y), \] for any \(\nu\in V\) such that \(\nu +\tau\in V\), and the corresponding joint survivor function is denoted by \(\overline F_{\tau}(x,y)\). The joint tail along the diagonal for the process \(\{Z(\nu)\}\) for a fixed \(\tau\) is \(\overline F_{\tau}(z,z)={\mathcal L}_{\tau}(z)z ^{-1/\eta_ {\tau}}\) as \(z\to\infty\), where \(\eta_{\tau}\) termed, the coefficient of tail dependence, is a constant in \(z\) describing the decay rate of the probability of simultaneous exceedances of \(z\), and \({\mathcal L}_{\tau}(\cdot)\) is a slowly varying function. There are presented two measures of pairwise extremal dependence of the spatial process: primary \(\gamma (\tau)=2(1-\eta_{\tau})\), where \(\gamma(\tau)\in [0,2)\) and \(\gamma(\tau)=\gamma(-\tau)\); and, secondary, the measure of pairwise extremal dependence \({\mathcal L}_{\tau}(t)\). The authors illustrate the properties and use of these measures through theoretical examples and applications in hydrology and oceanography.