KAUST DepartmentStatistics Program
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
KAUST Grant NumberOSR-CRG2017-3434
Preprint Posting Date2020-07-01
Permanent link to this recordhttp://hdl.handle.net/10754/664360
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AbstractThe classical modeling of spatial extremes relies on asymptotic models (i.e., max-stable or r-Pareto processes) for block maxima or peaks over high thresholds, respectively. However, at finite levels, empirical evidence often suggests that such asymptotic models are too rigidly constrained, and that they do not adequately capture the frequent situation where more severe events tend to be spatially more localized. In other words, these asymptotic models have a strong tail dependence that persists at increasingly high levels, while data usually suggest that it should weaken instead. Another well-known limitation of classical spatial extremes models is that they are either computationally prohibitive to fit in high dimensions, or they need to be fitted using less efficient techniques. In this review paper, we describe recent progress in the modeling and inference for spatial extremes, focusing on new models that have more flexible tail structures that can bridge asymptotic dependence classes, and that are more easily amenable to likelihood-based inference for large datasets. In particular, we discuss various types of random scale constructions, as well as the conditional spatial extremes model, which have recently been getting increasing attention within the statistics of extremes community. We illustrate some of these new spatial models on two different environmental applications.
CitationHuser, R., & Wadsworth, J. L. (2020). Advances in statistical modeling of spatial extremes. WIREs Computational Statistics. doi:10.1002/wics.1537
SponsorsWe thank Thomas Opitz for helpful discussions, as well as the Editor and two anonymous referees for various comments that have improved the paper. This publication is based upon work supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR) under Award No. OSR-CRG2017-3434.
JournalWIREs Computational Statistics
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