Likelihood-based inference for max-stable processes

Details Likelihood-based inference for max-stable processes Likelihood-based inference for max-stable processes

2009-02-18

arxiv.org/abs/0902.3060v2

Statistics

Methodology

Scientific paper

The last decade has seen max-stable processes emerge as a common tool for the statistical modeling of spatial extremes. However, their application is complicated due to the unavailability of the multivariate density function, and so likelihood-based methods remain far from providing a complete and flexible framework for inference. In this article we develop inferentially practical, likelihood-based methods for fitting max-stable processes derived from a composite-likelihood approach. The procedure is sufficiently reliable and versatile to permit the simultaneous modeling of marginal and dependence parameters in the spatial context at a moderate computational cost. The utility of this methodology is examined via simulation, and illustrated by the analysis of U.S. precipitation extremes.

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