Show simple item record

dc.contributor.authorGenton, Marc G.
dc.contributor.authorPadoan, S. A.
dc.contributor.authorSang, H.
dc.date.accessioned2015-05-06T13:29:06Z
dc.date.available2015-05-06T13:29:06Z
dc.date.issued2015-02-11
dc.identifier.citationMultivariate max-stable spatial processes 2015, 102 (1):215 Biometrika
dc.identifier.issn0006-3444
dc.identifier.issn1464-3510
dc.identifier.doi10.1093/biomet/asu066
dc.identifier.urihttp://hdl.handle.net/10754/552385
dc.description.abstractMax-stable processes allow the spatial dependence of extremes to be modelled and quantified, so they are widely adopted in applications. For a better understanding of extremes, it may be useful to study several variables simultaneously. To this end, we study the maxima of independent replicates of multivariate processes, both in the Gaussian and Student-t cases. We define a Poisson process construction and introduce multivariate versions of the Smith Gaussian extreme-value, the Schlather extremal-Gaussian and extremal-t, and the Brown–Resnick models. We develop inference for the models based on composite likelihoods. We present results of Monte Carlo simulations and an application to daily maximum wind speed and wind gust.
dc.publisherOxford University Press (OUP)
dc.relation.urlhttp://biomet.oxfordjournals.org/cgi/doi/10.1093/biomet/asu066
dc.rightsArchived with thanks to Biometrika
dc.subjectComposite likelihood
dc.subjectCross-correlation
dc.subjectExtremal coefficient
dc.subjectMax-stable process
dc.subjectMultivariate analysis
dc.subjectRandom field
dc.subjectSpatial extreme
dc.titleMultivariate max-stable spatial processes
dc.typeArticle
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.identifier.journalBiometrika
dc.eprint.versionPost-print
dc.contributor.institutionDepartment of Decision Sciences, Bocconi University of Milan, 20136 Milano, Italy
dc.contributor.institutionDepartment of Statistics, Texas A&M University, College Station, Texas 77843, U.S.A.
kaust.personGenton, Marc G.
refterms.dateFOA2016-02-11T00:00:00Z


Files in this item

Thumbnail
Name:
2013.GPS.Biometrika.Rev_14.pdf
Size:
2.543Mb
Format:
PDF
Description:
Accepted Manuscript
Thumbnail
Name:
asu066supp.pdf
Size:
306.6Kb
Format:
PDF
Description:
Supplemental files

This item appears in the following Collection(s)

Show simple item record