Statistical inference for max-stable processes in space and time
From MaRDI portal
Abstract: Max-stable processes have proved to be useful for the statistical modelling of spatial extremes. Several representations of max-stable random fields have been proposed in the literature. One such representation is based on a limit of normalized and scaled pointwise maxima of stationary Gaussian processes that was first introduced by Kabluchko, Schlather and de Haan (2009). This paper deals with statistical inference for max-stable space-time processes that are defined in an analogous fashion. We describe pairwise likelihood estimation, where the pairwise density of the process is used to estimate the model parameters and prove strong consistency and asymptotic normality of the parameter estimates for an increasing space-time dimension, i.e., as the joint number of spatial locations and time points tends to infinity. A simulation study shows that the proposed method works well for these models.
Recommendations
- Max-stable processes for modeling extremes observed in space and time
- Likelihood-based inference for max-stable processes
- Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
- Statistical inference for max-stable processes by conditioning on extreme events
- Non-stationary dependence structures for spatial extremes
Cited in
(56)- Models for stationary max-stable random fields
- Tail measure and spectral tail process of regularly varying time series
- A Bayesian hierarchical model for spatial extremes with multiple durations
- Geometric ergodicity for some space-time max-stable Markov chains
- A class of goodness-of-fit tests for spatial extremes models based on max-stable processes
- A spatio-temporal model for Red Sea surface temperature anomalies
- Spatio-temporal prediction of missing temperature with stochastic Poisson equations. The LC2019 team winning entry for the EVA 2019 data competition
- Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
- Extremes and regular variation
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Extreme value analysis of multivariate high-frequency wind speed data
- Semiparametric estimation for isotropic max-stable space-time processes
- Exact simulation of Brown-Resnick random fields at a finite number of locations
- Random tessellations associated with max-stable random fields
- Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- On the likelihood function of Gaussian max-stable processes
- Non-stationary dependence structures for spatial extremes
- Anisotropic Brown-Resnick space-time processes: estimation and model assessment
- Max-stable processes for modeling extremes observed in space and time
- Conditional sampling for max-stable processes with a mixed moving maxima representation
- CRPS M-estimation for max-stable models
- Censored pairwise likelihood-based tests for mixture parameter of spatial max-mixture models
- Modeling Nonstationary Extreme Dependence With Stationary Max-Stable Processes and Multidimensional Scaling
- On the performance of the Bayesian composite likelihood estimation of max-stable processes
- Hierarchical space-time modeling of asymptotically independent exceedances with an application to precipitation data
- Statistical inference for max-stable processes by conditioning on extreme events
- Space-time max-stable models with spectral separability
- Likelihood-based inference for max-stable processes
- Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
- NONPARAMETRIC PREDICTION WITH SPATIAL DATA
- Neural networks for parameter estimation in intractable models
- Bayesian modeling of discrete-time point-referenced spatio-temporal data
- Visuanimation in statistics
- Full likelihood inference for max-stable data
- 30 years of space-time covariance functions
- Spatiotemporal modeling of hydrological return levels: a quantile regression approach
- Authors' reply to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Alexa A. Sochaniwsky and Paul D. Mcnicholas's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Stefano Rizzelli's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Emilio Porcu, Horst Simon, and Youssef Wehbe's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Jonathan Koh's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Anthony C. Davison and Raphaël de Fondeville's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Miriam Cuba, Daniela Castro-Camilo, and Marian Scott's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Peter F. Craigmile, Peter Guttorp, and Thordis l. Thorarinsdottir's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Jorge Castillo-Mateo, Alan E. Gelfand, Ana C. Cebrián, and Jesús Asín's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Jordan Richards, Myung Won Lee, Viviana Carcaiso, and Miguel de Carvalho's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Richard Smith's contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Seconder of the vote of thanks to Healy et al. and contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Proposer of the vote of thanks to Healy et al. and contribution to the discussion of: ``Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Inference for extreme spatial temperature events in a changing climate with application to Ireland
- Regionalization approaches for the spatial analysis of extremal dependence
- Towards black-box parameter estimation
- Mixed moving average field guided learning for spatio-temporal data
- Estimation of spatial max-stable models using threshold exceedances
This page was built for publication: Statistical inference for max-stable processes in space and time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4632677)
