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research article

Simultaneous autoregressive models for spatial extremes

Fix, Miranda J.
•
Cooley, Daniel S.
•
Thibaud, Emeric  
September 16, 2020
Environmetrics

Motivated by the widespread use of large gridded data sets in the atmospheric sciences, we propose a new model for extremes of areal data that is inspired by the simultaneous autoregressive (SAR) model in classical spatial statistics. Our extreme SAR model extends recent work on transformed-linear operations applied to regularly varying random vectors, and is unique among extremes models in being directly analogous to a classical linear model. An additional appeal is its simplicity; given a proximity matrixW, spatial dependence is described by a single parameter rho. We develop an estimation method that minimizes the discrepancy between the tail pairwise dependence matrix (TPDM) for the fitted model and the estimated TPDM. Applying this method to simulated data demonstrates that it is able to produce good estimates of extremal spatial dependence even in the case of model misspecification, and additionally produces reasonable estimates of uncertainty. We also apply the method to gridded precipitation observations for a study region over northeast Colorado, and find that a single-parameter extreme SAR model paired with a neighborhood structure which accounts for longer range dependence effectively models spatial dependence in these data.

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Type
research article
DOI
10.1002/env.2656
Web of Science ID

WOS:000570094500001

Author(s)
Fix, Miranda J.
Cooley, Daniel S.
Thibaud, Emeric  
Date Issued

2020-09-16

Publisher

WILEY

Published in
Environmetrics
Article Number

e2656

Subjects

Environmental Sciences

•

Mathematics, Interdisciplinary Applications

•

Statistics & Probability

•

Environmental Sciences & Ecology

•

Mathematics

•

areal data

•

regular variation

•

tail dependence

•

threshold exceedance

•

bayesian-inference

•

dependence

•

estimator

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
October 1, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/172055
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