Maxima of moving maxima of continuous functions

DOI10.1007/S10687-011-0136-8MaRDI QIDQ907278zbMATH OpenOpenAlexFDO

Authors Thomas Meinguet

Publication date 25 January 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.4130

zbMATH Keywords

clustersextremal indexextremesspectral processCM3M4

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Maxima of moving maxima of continuous functions (CM3) are max-stable processes aimed at modeling extremes of continuous phenomena over time. They are defined as Smith and Weissman's M4 processes with continuous functions rather than vectors. After standardization of the margins of the observed process into unit-Fr'echet, CM3 processes can model the remaining spatio-temporal dependence structure. CM3 processes have the property of joint regular variation. The spectral processes from this class admit particularly simple expressions. Furthermore, depending on the speed with which the parameter functions tend toward zero, CM3 processes fulfill the finite-cluster condition and the strong mixing condition. For instance, these three properties put together have implications for the expression of the extremal index. A method for fitting a CM3 to data is investigated. The first step is to estimate the length of the temporal dependence. Then, by selecting a suitable number of blocks of extremes of this length, clustering algorithms are used to estimate the total number of different profiles. The number of parameter functions to retrieve is equal to the product of these two numbers. They are estimated thanks to the output of the partitioning algorithms in the previous step. The full procedure only requires one parameter which is the range of variation allowed among the different profiles. The dissimilarity between the original CM3 and the estimated version is evaluated by means of the Hausdorff distance between the graphs of the parameter functions.

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Cited in

(6)

• Estimating the extremal index through local dependence
• Space-time max-stable models with spectral separability
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Statistical inference for max-stable processes by conditioning on extreme events
• Multivariate maxima of moving multivariate maxima
• Polar decomposition of regularly varying time series in star-shaped metric spaces

Describes a project that uses

Uses Software

• clusfind
• Silhouettes

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