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research article

Bayesian Inference For The Brown-Resnick Process, With An Application To Extreme Low Temperatures

Thibaud, Emeric  
•
Aalto, Juha
•
Cooley, Daniel S.
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2016
Annals of Applied Statistics

The Brown-Resnick max-stable process has proven to be well suited for modeling extremes of complex environmental processes, but in many applications its likelihood function is intractable and inference must be based on a composite likelihood, thereby preventing the use of classical Bayesian techniques. In this paper we exploit a case in which the full likelihood of a Brown-Resnick process can be calculated, using componentwise maxima and their partitions in terms of individual events, and we propose two new approaches to inference. The first estimates the partitions using declustering, while the second uses random partitions in a Markov chain Monte Carlo algorithm. We use these approaches to construct a Bayesian hierarchical model for extreme low temperatures in northern Fennoscandia.

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Type
research article
DOI
10.1214/16-Aoas980
Web of Science ID

WOS:000392819100027

Author(s)
Thibaud, Emeric  
Aalto, Juha
Cooley, Daniel S.
Davison, Anthony C.  
Heikkinen, Juha
Date Issued

2016

Publisher

Inst Mathematical Statistics

Published in
Annals of Applied Statistics
Volume

10

Issue

4

Start page

2303

End page

2324

Subjects

Global warming

•

likelihood-based inference

•

max-stable process

•

nonstationary extremes

•

partition

•

space-time declustering

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
March 27, 2017
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/136013
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