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arXiv · 1205.1107

Estimation of spatial max-stable models using threshold exceedances

Jean-Noel Bacro·Carlo Gaetan
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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.

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Jean-Noel Bacro, Carlo Gaetan. 2012-05-05. Estimation of spatial max-stable models using threshold exceedances. https://arxiv.org/abs/1205.1107

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