期刊
BIOMETRIKA
卷 102, 期 4, 页码 855-870出版社
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asv045
关键词
Censored likelihood; Elliptical extremes; Extremal-t process; Pareto process; Simulation
资金
- Swiss National Science Foundation
- project: McSim - French National Research Agency
- project: MIRACCLE - French Ministry for Ecology
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据