Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes

DOI10.1111/RSSB.12074zbMATH Open1414.60038arXiv1207.6886OpenAlexW1978489110MaRDI QIDQ5379908FDOQ5379908

Authors: Sebastian Engelke, Alexander Malinowski, Zakhar Kabluchko, M. Schlather 

Publication date: 14 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1207.6886

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zbMATH Keywords

extreme value theoryspectral densitymax-stable processPoisson point processpeaks-over-threshold method

Mathematics Subject Classification ID

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)

Cited In (42)

• Brown-Resnick processes: analysis, inference and generalizations
• A flexible dependence model for spatial extremes
• Modeling Spatial Processes with Unknown Extremal Dependence Class
• Non-stationary dependence structures for spatial extremes
• Total positivity in multivariate extremes
• Modeling spatial tail dependence with Cauchy convolution processes
• A characterization of the normal distribution using stationary max-stable processes
• Maximum composite likelihood estimation for spatial extremes models of Brown-Resnick type with application to precipitation data
• Geostatistics of dependent and asymptotically independent extremes
• Estimation and Simulation of the Riesz-Bessel Distribution
• Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts
• Exploration and inference in spatial extremes using empirical basis functions
• Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes
• Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses
• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• Editorial: EVA 2019 data competition on spatio-temporal prediction of Red Sea surface temperature extremes
• Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• Semiparametric estimation for isotropic max-stable space-time processes
• The extremes of dependent chi-processes attracted by the Brown-Resnick process
• Model-based inference of conditional extreme value distributions with hydrological applications
• Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures
• Probabilities of concurrent extremes
• Extremal attractors of Liouville copulas
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• ABC model selection for spatial extremes models applied to south Australian maximum temperature data
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• CRPS M-estimation for max-stable models
• Anisotropic Brown-Resnick space-time processes: estimation and model assessment
• Testing for changes in the tail behavior of Brown-Resnick Pareto processes
• Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes
• Equivalent representations of max-stable processes via \(\ell^p\)-norms
• A comparative tour through the simulation algorithms for max-stable processes
• Tail correlation functions of max-stable processes
• The realization problem for tail correlation functions
• Composite likelihood estimation for the Brown-Resnick process
• Conditioned limit laws for inverted max-stable processes
• Max-stable processes and stationary systems of Lévy particles
• Modeling Nonstationary Extreme Dependence With Stationary Max-Stable Processes and Multidimensional Scaling
• Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
• A Space-Time Skew-t Model for Threshold Exceedances
• Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes

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