On the performance of the Bayesian composite likelihood estimation of max-stable processes

DOI10.1080/00949655.2017.1342824MaRDI QIDQ5106978zbMATH OpenOpenAlexFDO

Authors Raymond K. S. Chan, Mike K. P. So

Publication date 22 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2017.1342824

zbMATH Keywords

Brown-Resnick processcomposite likelihoodsestimation performanceGaussian extreme value processMarkov chain Monte Carlomax-stable processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Applications of statistics to environmental and related topics (62P12)

Cites work

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• scientific article; zbMATH DE number 4100431 (Why is no real title available?)
• Likelihood-based inference for max-stable processes
• Maxima of normal random vectors: Between independence and complete dependence
• Non-stationary dependence structures for spatial extremes
• On composite marginal likelihoods
• On the likelihood function of Gaussian max-stable processes
• Space–Time Modelling of Extreme Events
• Spatial modeling of extreme snow depth
• Stationary max-stable fields associated to negative definite functions
• Statistical inference for max-stable processes in space and time
• Statistical modeling of spatial extremes
• Statistical Models

Cited in

(1)

• Extremes and regular variation

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Uses Software

• ismev

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