Anisotropic Brown-Resnick space-time processes: estimation and model assessment

DOI10.1007/S10687-016-0257-1zbMATH Open1357.62279arXiv1503.06049OpenAlexW1689925415MaRDI QIDQ347148FDOQ347148

Sven Buhl, Claudia Klüppelberg

Publication date: 30 November 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: Spatially isotropic max-stable processes have been used to model extreme spatial or space-time observations. One prominent model is the Brown-Resnick process, which has been successfully fitted to time series, spatial data and space-time data. This paper extends the process to possibly anisotropic spatial structures. For regular grid observations we prove strong consistency and asymptotic normality of pairwise maximum likelihood estimates for fixed and increasing spatial domain, when the number of observations in time tends to infinity. We also present a statistical test for isotropy versus anisotropy. We apply our test to precipitation data in Florida, and present some diagnostic tools for model assessment. Finally, we present a method to predict conditional probability fields and apply it to the data.

Full work available at URL: https://arxiv.org/abs/1503.06049

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zbMATH Keywords

pairwise likelihoodmax-stable processconditional probabilityanisotropic space-time processBrown-Resnick space-time processhypothesis test for spatial isotropymax-stable model checkpairwise maximum likelihood estimate

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Random fields; image analysis (62M40) Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

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Cited In (11)

• Geometric ergodicity for some space-time max-stable Markov chains
• Extreme value estimation for discretely sampled continuous processes
• Tail measure and spectral tail process of regularly varying time series
• Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• Semiparametric estimation for isotropic max-stable space-time processes
• La descente et la montée étendues [extended rises and descents]: the spatially \(d\)-anisotropic and the spatio-temporal case
• Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
• Testing for changes in the tail behavior of Brown-Resnick Pareto processes
• Space‒time max-stable models with spectral separability
• Consistency of Bayesian inference for multivariate max-stable distributions

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