Semiparametric estimation for space-time max-stable processes: an F-madogram-based approach

DOI10.1007/S11203-020-09232-2zbMATH Open1471.62445arXiv1905.07912OpenAlexW3118426909MaRDI QIDQ2046292FDOQ2046292

A. Abu-Awwad, Pierre Ribereau, Véronique Maume-Deschamps

Publication date: 17 August 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: Max-stable processes have been expanded to quantify extremal dependence in spatio-temporal data. Due to the interaction between space and time, spatio-temporal data are often complex to analyze. So, characterizing these dependencies is one of the crucial challenges in this field of statistics. This paper suggests a semiparametric inference methodology based on the spatio-temporal F-madogram for estimating the parameters of a space-time max-stable process using gridded data. The performance of the method is investigated through various simulation studies. Finally, we apply our inferential procedure to quantify the extremal behavior of radar rainfall data in a region in the State of Florida.

Full work available at URL: https://arxiv.org/abs/1905.07912

zbMATH Keywords

semiparametric estimationextreme value theorymax-stable processspace-time process\(F\)-madogram

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) 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)

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Cited In (1)

• Extremes and regular variation

Uses Software

• RandomFields
• ismev
• SpatialExtremes

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