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research article

Max-infinitely divisible models and inference for spatial extremes

Huser, Raphael
•
Opitz, Thomas
•
Thibaud, Emeric  
2021
Scandinavian Journal Of Statistics

For many environmental processes, recent studies have shown that the dependence strength is decreasing when quantile levels increase. This implies that the popular max-stable models are inadequate to capture the rate of joint tail decay, and to estimate joint extremal probabilities beyond observed levels. We here develop a more flexible modeling framework based on the class of max-infinitely divisible processes, which extend max-stable processes while retaining dependence properties that are natural for maxima. We propose two parametric constructions for max-infinitely divisible models, which relax the max-stability property but remain close to some popular max-stable models obtained as special cases. The first model considers maxima over a finite, random number of independent observations, while the second model generalizes the spectral representation of max-stable processes. Inference is performed using a pairwise likelihood. We illustrate the benefits of our new modeling framework on Dutch wind gust maxima calculated over different time units. Results strongly suggest that our proposed models outperform other natural models, such as the Student-t copula process and its max-stable limit, even for large block sizes.

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Type
research article
DOI
10.1111/sjos.12491
Web of Science ID

WOS:000585953100001

Author(s)
Huser, Raphael
Opitz, Thomas
Thibaud, Emeric  
Date Issued

2021

Publisher

WILEY

Published in
Scandinavian Journal Of Statistics
Volume

48

Issue

1

Start page

321

End page

348

Subjects

Statistics & Probability

•

Mathematics

•

asymptotic dependence and independence

•

block maximum approach

•

extreme event

•

max‐

•

infinitely divisible process

•

subasymptotic modeling

•

wind speed

•

exact simulation

•

dependence

•

geostatistics

•

independence

•

statistics

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
November 24, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/173524
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