Journal
BIOMETRIKA
Volume 102, Issue 4, Pages 855-870Publisher
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asv045
Keywords
Censored likelihood; Elliptical extremes; Extremal-t process; Pareto process; Simulation
Funding
- Swiss National Science Foundation
- project: McSim - French National Research Agency
- project: MIRACCLE - French Ministry for Ecology
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Recent advances in extreme value theory have established l-Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. In this paper we provide methods for the practical modelling of data based on a tractable yet flexible dependence model. We introduce the class of elliptical l-Pareto processes, which arise as the limits of threshold exceedances of certain elliptical processes characterized by a correlation function and a shape parameter. An efficient inference method based on maximizing a full likelihood with partial censoring is developed. Novel procedures for exact conditional and unconditional simulation are proposed. These ideas are illustrated using precipitation extremes in Switzerland.
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