AbstractWe derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by ℝd at p≤d+1 sites, d≥1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from p=2 to p=3 sites in ℝ2 by means of a Monte Carlo simulation study. © 2011 Biometrika Trust.
CitationGenton MG, Ma Y, Sang H (2011) On the likelihood function of Gaussian max-stable processes. Biometrika 98: 481–488. Available: http://dx.doi.org/10.1093/biomet/asr020.
SponsorsThis research was sponsored by the U.S. National Science Foundation and by an award made by KingAbdullah University of Science and Technology. The authors thank the editor and two referees for veryuseful comments.
PublisherOxford University Press (OUP)