Modeling Spatial Processes with Unknown Extremal Dependence Class

DOI10.1080/01621459.2017.1411813zbMATH Open1478.62277arXiv1703.06031OpenAlexW2598043207MaRDI QIDQ5229925FDOQ5229925

Authors: Raphaël Huser, Jennifer L. Wadsworth 

Publication date: 19 August 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: Many environmental processes exhibit weakening spatial dependence as events become more extreme. Well-known limiting models, such as max-stable or generalized Pareto processes, cannot capture this, which can lead to a preference for models that exhibit a property known as asymptotic independence. However, weakening dependence does not automatically imply asymptotic independence, and whether the process is truly asymptotically (in)dependent is usually far from clear. The distinction is key as it can have a large impact upon extrapolation, i.e., the estimated probabilities of events more extreme than those observed. In this work, we present a single spatial model that is able to capture both dependence classes in a parsimonious manner, and with a smooth transition between the two cases. The model covers a wide range of possibilities from asymptotic independence through to complete dependence, and permits weakening dependence of extremes even under asymptotic dependence. Censored likelihood-based inference for the implied copula is feasible in moderate dimensions due to closed-form margins. The model is applied to oceanographic datasets with ambiguous true limiting dependence structure.

Full work available at URL: https://arxiv.org/abs/1703.06031

Recommendations

• Dependence modelling for spatial extremes
• Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool
• A flexible dependence model for spatial extremes
• Continuous spatial process models for spatial extreme values
• Non-stationary dependence structures for spatial extremes
• Statistical modeling of spatial extremes
• Asymptotic models and inference for extremes of spatio-temporal data
• On extreme value analysis of a spatial process
• Spatial extremes: models for the stationary case
• Modeling spatial extremes using normal mean-variance mixtures

zbMATH Keywords

copulaspatial extremesasymptotic dependence and independencethreshold exceedancecensored likelihood inference

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Censored data models (62N01) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Likelihood estimators for multivariate extremes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistics for near independence in multivariate extreme values
• Likelihood-based inference for max-stable processes
• Extreme value theory. An introduction.
• The Stationary Bootstrap
• Efficient inference and simulation for elliptical Pareto processes
• MAX-stable models for multivariate extremes
• Title not available (Why is that?)
• Markov chain models for threshold exceedances
• The multivariate skew-normal distribution
• Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
• Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
• Statistical modeling of spatial extremes
• Hidden regular variation, second order regular variation and asymptotic independence
• Title not available (Why is that?)
• Modelling across extremal dependence classes
• Dependence modelling for spatial extremes
• A survey of spatial extremes: measuring spatial dependence and modeling spatial effects
• The generalized Pareto process; with a view towards application and simulation
• Geostatistics of dependent and asymptotically independent extremes
• Dependence measures for extreme value analyses
• Discussion of ``Statistical modeling of spatial extremes by A. C. Davison, S. A. Padoan and M. Ribatet
• Title not available (Why is that?)
• Models and inference for uncertainty in extremal dependence
• High-dimensional peaks-over-threshold inference
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Factor copula models for replicated spatial data

Cited In (41)

• A Vecchia approximation for high-dimensional Gaussian cumulative distribution functions arising from spatial data
• A flexible dependence model for spatial extremes
• Modeling spatial tail dependence with Cauchy convolution processes
• Estimating high-resolution red sea surface temperature hotspots, using a low-rank semiparametric spatial model
• Advances in statistical modeling of spatial extremes
• A modeler's guide to extreme value software
• High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields
• Analysis of wildfires and their extremes via spatial quantile autoregressive model
• A Spatial Markov Model for Climate Extremes
• An efficient workflow for modelling high-dimensional spatial extremes
• Linking representations for multivariate extremes via a limit set
• Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
• Spatial dependence of extreme seas in the North East Atlantic from satellite altimeter measurements
• Diagnostics for pairwise extremal dependence in spatial processes
• Max-convolution processes with random shape indicator kernels
• Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets With Many Locations
• Hierarchical space-time modeling of asymptotically independent exceedances with an application to precipitation data
• Basin-wide spatial conditional extremes for severe ocean storms
• Editorial: EVA 2019 data competition on spatio-temporal prediction of Red Sea surface temperature extremes
• Modeling nonstationary temperature maxima based on extremal dependence changing with event magnitude
• Flexible and Fast Spatial Return Level Estimation Via a Spatially Fused Penalty
• A hierarchical max-infinitely divisible spatial model for extreme precipitation
• Joint modelling of the body and tail of bivariate data
• A hierarchical Bayesian non-asymptotic extreme value model for spatial data
• New estimation methods for extremal bivariate return curves
• Modelling non-stationarity in asymptotically independent extremes
• Spatial hierarchical modeling of threshold exceedances using rate mixtures
• Spatial deformation for nonstationary extremal dependence
• Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function
• New exploratory tools for extremal dependence: \(\chi \) networks and annual extremal networks
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• Partial Tail-Correlation Coefficient Applied to Extremal-Network Learning
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• Asymmetric tail dependence modeling, with application to cryptocurrency market data
• Extremal dependence of random scale constructions
• A horse race between the block maxima method and the peak-over-threshold approach
• Semiparametric bivariate modelling with flexible extremal dependence
• Sub-asymptotic motivation for new conditional multivariate extreme models
• Modeling spatial extremes using normal mean-variance mixtures
• Title not available (Why is that?)
• Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes

This page was built for publication: Modeling Spatial Processes with Unknown Extremal Dependence Class

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5229925)