Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures

DOI10.1214/16-AOAS980zbMATH Open1454.62462arXiv1506.07836MaRDI QIDQ512434FDOQ512434

Authors: Juha Aalto, Daniel Cooley, Juha Heikkinen, Emeric Thibaud, A. C. Davison 

Publication date: 24 February 2017

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Abstract: The Brown-Resnick max-stable process has proven to be well-suited for modeling extremes of complex environmental processes, but in many applications its likelihood function is intractable and inference must be based on a composite likelihood, thereby preventing the use of classical Bayesian techniques. In this paper we exploit a case in which the full likelihood of a Brown-Resnick process can be calculated, using componentwise maxima and their partitions in terms of individual events, and we propose two new approaches to inference. The first estimates the partitions using declustering, while the second uses random partitions in a Markov chain Monte Carlo algorithm. We use these approaches to construct a Bayesian hierarchical model for extreme low temperatures in northern Fennoscandia.

Full work available at URL: https://arxiv.org/abs/1506.07836

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zbMATH Keywords

partitionlikelihood-based inferencemax-stable processglobal warmingnonstationary extremesspace-time declustering

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12) Climate science and climate modeling (86A08) Stable stochastic processes (60G52)

Cited In (27)

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• Non-stationary dependence structures for spatial extremes
• Advances in statistical modeling of spatial extremes
• A modeler's guide to extreme value software
• High-dimensional inference using the extremal skew-\(t\) process
• Truncated pair-wise likelihood for the Brown-Resnick process with applications to maximum temperature data
• Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
• Exploration and inference in spatial extremes using empirical basis functions
• Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
• A multivariate spatial skew-\(t\) process for joint modeling of extreme precipitation indexes
• Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes
• A spatio-temporal model for Red Sea surface temperature anomalies
• On the performance of the Bayesian composite likelihood estimation of max-stable processes
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• A Bayesian spatial hierarchical model for extreme precipitation in Great Britain
• Modeling short-ranged dependence in block extrema with application to polar temperature data
• Space-time trends and dependence of precipitation extremes in north-western Germany
• Simultaneous autoregressive models for spatial extremes
• Improved return level estimation via a weighted likelihood, latent spatial extremes model
• New exploratory tools for extremal dependence: \(\chi \) networks and annual extremal networks
• Neural networks for parameter estimation in intractable models
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• The realization problem for tail correlation functions
• On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
• Full likelihood inference for max-stable data
• Multivariate modelling of spatial extremes based on copulas
• Consistency of Bayesian inference for multivariate max-stable distributions

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