Multivariate max-stable spatial processes
نویسندگان
چکیده
منابع مشابه
Max-stable Processes and Spatial Extremes
Max-stable processes arise from an infinite-dimensional generalisation of extreme value theory. They form a natural class of processes when sample maxima are observed at each site of a spatial process, a problem of particular interest in connection with regional estimation methods in hydrology. A general representation of max-stable processes due to de Haan and Vatan is discussed, and examples ...
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• Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models for univariate and multivariate extremes. A comprehensive account is given of the various ways in which max-stable models are described. Furthermore, a co...
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The last decade has seen max-stable processes emerge as a common tool for the statistical modelling 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-...
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We construct extremal stochastic integrals ∫ e E f(u)Mα(du) of a deterministic function f(u) ≥ 0 with respect to a random α−Fréchet (α > 0) sup–measure. The measure Mα is sup–additive rather than additive and is defined over a general measure space (E, E , μ), where μ is a deterministic control measure. The extremal integral is constructed in a way similar to the usual α−stable integral, but wi...
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ژورنال
عنوان ژورنال: Biometrika
سال: 2015
ISSN: 0006-3444,1464-3510
DOI: 10.1093/biomet/asu066