Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
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Publication:5379908
extreme value theoryspectral densitymax-stable processPoisson point processpeaks-over-threshold method
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15) Stable stochastic processes (60G52)
Abstract: Estimation of extreme-value parameters from observations in the max-domain of attraction (MDA) of a multivariate max-stable distribution commonly uses aggregated data such as block maxima. Since we expect that additional information is contained in the non-aggregated, single "large" observations, we introduce a new approach of inference based on a multivariate peaks-over-threshold method. We show that for any process in the MDA of the frequently used H"usler-Reiss model or its spatial extension, the Brown-Resnick process, suitably defined conditional increments asymptotically follow a multivariate Gaussian distribution. This leads to computationally efficient estimates of the H"usler-Reiss parameter matrix. Further, the results enable parametric inference for Brown-Resnick processes. A simulation study compares the performance of the new estimators to other commonly used methods. As an application, we fit a non-isotropic Brown-Resnick process to the extremes of 12 year data of daily wind speed measurements.
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