Space-time max-stable models with spectral separability
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Publication:5197397
DOI10.1017/APR.2016.43zbMATH Open1426.60058arXiv1507.07750OpenAlexW2964101455MaRDI QIDQ5197397FDOQ5197397
Authors: Paul Embrechts, Erwan Koch, C. Y. Robert 
Publication date: 23 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Abstract: Natural disasters may have considerable impact on society as well as on (re)insurance industry. Max-stable processes are ideally suited for the modeling of the spatial extent of such extreme events, but it is often assumed that there is no temporal dependence. Only a few papers have introduced spatio-temporal max-stable models, extending the Smith, Schlather and Brown-Resnick spatial processes. These models suffer from two major drawbacks: time plays a similar role as space and the temporal dynamics is not explicit. In order to overcome these defects, we introduce spatio-temporal max-stable models where we partly decouple the influence of time and space in their spectral representations. We introduce both continuous and discrete-time versions. We then consider particular Markovian cases with a max-autoregressive representation and discuss their properties. Finally, we briefly propose an inference methodology which is tested through a simulation study.
Full work available at URL: https://arxiv.org/abs/1507.07750
Recommendations
Inference from spatial processes (62M30) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)
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Cited In (8)
- Geometric ergodicity for some space-time max-stable Markov chains
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Representations of \(\max\)-stable processes via exponential tilting
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Spatiotemporal modeling of hydrological return levels: a quantile regression approach
- Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
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