Bayesian inference for multivariate extreme value distributions

DOI10.1214/17-EJS1367zbMATH Open1383.62061arXiv1611.05602OpenAlexW2963245955MaRDI QIDQ1684166FDOQ1684166

Authors: Clément Dombry, Sebastian Engelke, Marco Oesting 

Publication date: 8 December 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Statistical modeling of multivariate and spatial extreme events has attracted broad attention in various areas of science. Max-stable distributions and processes are the natural class of models for this purpose, and many parametric families have been developed and successfully applied. Due to complicated likelihoods, the efficient statistical inference is still an active area of research, and usually composite likelihood methods based on bivariate densities only are used. Thibaud et al. (2016, Ann. Appl. Stat., to appear) use a Bayesian approach to fit a Brown--Resnick process to extreme temperatures. In this paper, we extend this idea to a methodology that is applicable to general max-stable distributions and that uses full likelihoods. We further provide simple conditions for the asymptotic normality of the median of the posterior distribution and verify them for the commonly used models in multivariate and spatial extreme value statistics. A simulation study shows that this point estimator is considerably more efficient than the composite likelihood estimator in a frequentist framework. From a Bayesian perspective, our approach opens the way for new techniques such as Bayesian model comparison in multivariate and spatial extremes.

Full work available at URL: https://arxiv.org/abs/1611.05602

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zbMATH Keywords

asymptotic normalityMarkov chain Monte CarloBayesian statisticsmultivariate extremesfull likelihoodefficient inferenceMAX-stability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Bayesian inference (62F15) Directional data; spatial statistics (62H11) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20)

Cited In (22)

• Advances in statistical modeling of spatial extremes
• Bayesian threshold selection for extremal models using measures of surprise
• A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation
• Bayesian inference from composite likelihoods, with an application to spatial extremes
• Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
• High-dimensional parametric modelling of multivariate extreme events
• Strong convergence of multivariate maxima
• Approximate Bayesian computing for spatial extremes
• Composite likelihood for extreme values
• Bayesian analysis of extreme values by mixture modelling
• Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures
• Stochastic derivative estimation for max-stable random fields
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• Bayesian Inference on Multivariate Medians and Quantiles
• On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions
• Bayesian inference for extremes: accounting for the three extremal types
• Bayesian inference for extreme value modelling
• Full likelihood inference for max-stable data
• Bayesian Methods in Extreme Value Modelling: A Review and New Developments
• Consistency of Bayesian inference for multivariate max-stable distributions
• Regression-type analysis for multivariate extreme values

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