Composite likelihood estimation for the Brown-Resnick process

R. Huser; A. C. Davison

doi:10.1093/biomet/ass089

Composite likelihood estimation for the Brown-Resnick process

R. Huser, A. C. Davison

Research output: Contribution to journal › Article › peer-review

91 Scopus citations

Abstract

Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.

Original language	English (US)
Pages (from-to)	511-518
Number of pages	8
Journal	Biometrika
Volume	100
Issue number	2
DOIs	https://doi.org/10.1093/biomet/ass089
State	Published - Jun 2013
Externally published	Yes

Keywords

Brown-Resnick process
Composite likelihood
Max-stable process
Pairwise likelihood
Smith model
Triplewise likelihood

ASJC Scopus subject areas

Statistics and Probability
General Mathematics
Agricultural and Biological Sciences (miscellaneous)
General Agricultural and Biological Sciences
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1093/biomet/ass089

Cite this

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title = "Composite likelihood estimation for the Brown-Resnick process",

abstract = "Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.",

keywords = "Brown-Resnick process, Composite likelihood, Max-stable process, Pairwise likelihood, Smith model, Triplewise likelihood",

author = "R. Huser and Davison, {A. C.}",

note = "Funding Information: We thank Marc Genton for helpful discussions, and Robin Henderson and referees for their comments. This research was funded by the Swiss National Science Foundation, and was partly performed in the context of the ETH Competence Center Environment and Sustainability.",

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AU - Huser, R.

AU - Davison, A. C.

N1 - Funding Information: We thank Marc Genton for helpful discussions, and Robin Henderson and referees for their comments. This research was funded by the Swiss National Science Foundation, and was partly performed in the context of the ETH Competence Center Environment and Sustainability.

PY - 2013/6

Y1 - 2013/6

N2 - Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.

AB - Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.

KW - Brown-Resnick process

KW - Composite likelihood

KW - Max-stable process

KW - Pairwise likelihood

KW - Smith model

KW - Triplewise likelihood

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U2 - 10.1093/biomet/ass089

DO - 10.1093/biomet/ass089

M3 - Article

AN - SCOPUS:84878038506

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VL - 100

SP - 511

EP - 518

JO - Biometrika

JF - Biometrika

IS - 2

ER -

Composite likelihood estimation for the Brown-Resnick process

Abstract

Keywords

ASJC Scopus subject areas

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