Approximate Bayesian computing for spatial extremes
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Abstract: Statistical analysis of max-stable processes used to model spatial extremes has been limited by the difficulty in calculating the joint likelihood function. This precludes all standard likelihood-based approaches, including Bayesian approaches. In this paper we present a Bayesian approach through the use of approximate Bayesian computing. This circumvents the need for a joint likelihood function by instead relying on simulations from the (unavailable) likelihood. This method is compared with an alternative approach based on the composite likelihood. We demonstrate that approximate Bayesian computing can result in a lower mean square error than the composite likelihood approach when estimating the spatial dependence of extremes, though at an appreciably higher computational cost. We also illustrate the performance of the method with an application to US temperature data to estimate the risk of crop loss due to an unlikely freeze event.
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Cited in
(14)- An approximate likelihood perspective on ABC methods
- Weather derivative risk measures for extreme events
- Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables
- A Bayesian hierarchical model for spatial extremes with multiple durations
- Neural networks for parameter estimation in intractable models
- Modelling extremes using approximate Bayesian computation
- Practical Bayesian modeling and inference for massive spatial data sets on modest computing environments†
- Simulation-based Bayesian inference for epidemic models
- Approximate Bayesian computation with composite score functions
- Bayesian inference from composite likelihoods, with an application to spatial extremes
- ABC model selection for spatial extremes models applied to south Australian maximum temperature data
- Lazy ABC
- Bayesian estimation of locations of lightning events
- CRPS M-estimation for max-stable models
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