Estimation of spatial max-stable models using threshold exceedances
From MaRDI portal
Publication:892811
DOI10.1007/S11222-013-9394-4zbMATH Open1325.62105arXiv1205.1107OpenAlexW2042292152MaRDI QIDQ892811FDOQ892811
Publication date: 12 November 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Abstract: Parametric inference for spatial max-stable processes is difficult since the related likelihoods are unavailable. A composite likelihood approach based on the bivariate distribution of block maxima has been recently proposed in the literature. However modeling block maxima is a wasteful approach provided that other information is available. Moreover an approach based on block, typically annual, maxima is unable to take into account the fact that maxima occur or not simultaneously. If time series of, say, daily data are available, then estimation procedures based on exceedances of a high threshold could mitigate such problems. In this paper we focus on two approaches for composing likelihoods based on pairs of exceedances. The first one comes from the tail approximation for bivariate distribution proposed by Ledford and Tawn (1996) when both pairs of observations exceed the fixed threshold. The second one uses the bivariate extension (Rootzen and Tajvidi, 2006) of the generalized Pareto distribution which allows to model exceedances when at least one of the components is over the threshold. The two approaches are compared through a simulation study according to different degrees of spatial dependency. Results show that both the strength of the spatial dependencies and the threshold choice play a fundamental role in determining which is the best estimating procedure.
Full work available at URL: https://arxiv.org/abs/1205.1107
Recommendations
- Likelihood-based inference for max-stable processes
- Statistical Inference for Max-Stable Processes in Space and Time
- Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
- A flexible dependence model for spatial extremes
- Non-stationary dependence structures for spatial extremes
Cites Work
- An introduction to statistical modeling of extreme values
- Title not available (Why is that?)
- Comments on pairwise likelihood in time series models
- Modelling multivariate extreme value distributions
- Title not available (Why is that?)
- Statistics for near independence in multivariate extreme values
- Statistics of Extremes
- Title not available (Why is that?)
- Estimating Space and Space-Time Covariance Functions for Large Data Sets: A Weighted Composite Likelihood Approach
- Likelihood-Based Inference for Max-Stable Processes
- Extreme value properties of multivariate \(t\) copulas
- Stationary max-stable fields associated to negative definite functions
- A spectral representation for max-stable processes
- Statistical inference using extreme order statistics
- Quasi-likelihood and its application. A general approach to optimal parameter estimation
- Models for stationary max-stable random fields
- On spatial extremes: with application to a rainfall problem
- On the likelihood function of Gaussian max-stable processes
- The t Copula and Related Copulas
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- An extended Gaussian max-stable process model for spatial extremes
- Title not available (Why is that?)
- A dependence measure for multivariate and spatial extreme values: Properties and inference
- Space–Time Modelling of Extreme Events
- Statistical modeling of spatial extremes
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Spatial regression models for extremes
- Geostatistics of extremes
- Asymptotic models and inference for extremes of spatio-temporal data
- Bivariate extreme value theory: Models and estimation
- Multivariate generalized Pareto distributions
- Title not available (Why is that?)
- Storm processes and stochastic geometry
- A Hybrid Pairwise Likelihood Method
Cited In (8)
- A flexible dependence model for spatial extremes
- Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models
- A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes
- Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
- Likelihood estimators for multivariate extremes
- The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
- Modeling Nonstationary Extreme Dependence With Stationary Max-Stable Processes and Multidimensional Scaling
- A Space-Time Skew-t Model for Threshold Exceedances
Uses Software
This page was built for publication: Estimation of spatial max-stable models using threshold exceedances
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q892811)
