Conditioned limit laws for inverted max-stable processes

DOI10.1016/J.JMVA.2016.06.001zbMATH Open1345.60047arXiv1402.1908OpenAlexW2302277042MaRDI QIDQ739601FDOQ739601

Authors: Ioannis Papastathopoulos, Jonathan A. Tawn 

Publication date: 18 August 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have been proposed as an important new class for spatial extremes which are in the domain of attraction of a spatially independent max-stable process but instead they cover the broad class of asymptotic independence. To study the extreme values of such processes we use the conditioned approach to multivariate extremes that characterises the limiting distribution of appropriately normalised random vectors given that at least one of their components is large. The current statistical methods for the conditioned approach are based on a canonical parametric family of location and scale norming functions. We study broad classes of inverted max-stable processes containing processes linked to the widely studied max-stable models of Brown-Resnick, Schlather and Smith, and identify conditions for the normalisations to either belong to the canonical family or not. Despite such differences at an asymptotic level, we show that at practical levels, the canonical model can approximate well the true conditional distributions.

Full work available at URL: https://arxiv.org/abs/1402.1908

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zbMATH Keywords

Brown-Resnick processextremal-\(t\) processasymptotic independencespatial extremesconditioned limit lawsconditional extremes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDsler-Reiss+copula&go=Go H��sler-Reiss copula]inverted max-stable processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

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Cited In (5)

• A geometric investigation into the tail dependence of vine copulas
• Model-based inference of conditional extreme value distributions with hydrological applications
• Extreme events of Markov chains
• Properties of extremal dependence models built on bivariate MAX-linearity
• Sub-asymptotic motivation for new conditional multivariate extreme models

Uses Software

• ismev

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