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Activity Number: 541
Type: Contributed
Date/Time: Wednesday, August 3, 2016 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistics and the Environment
Abstract #319747
Title: Factor Copula Models for Spatial Data
Author(s): Pavel Krupskiy* and Marc Genton and Raphaƫl Huser
Companies: King Abdullah University of Science and Technology and KAUST and KAUST
Keywords: copula ; heavy tails ; non-Gaussian random field ; spatial statistics ; tail asymmetry
Abstract:

We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and affects the joint dependence of all measurements of the process. Moreover, the proposed copula can model tail dependence and tail asymmetry. The model is parameterized in terms of a covariance function that may be chosen from the many models proposed in the literature, such as the Mat\'{e}rn model. For some choice of common factors, the joint copula density is given in closed form and therefore likelihood estimation is very fast. In the general case, one-dimensional numerical integration is needed to calculate the likelihood, but estimation is still reasonably fast even with large data sets. We use simulation studies to show the wide range of dependence structures that can be generated by the proposed model with different choices of common factors. We apply the proposed model to spatial temperature data and compare its performance with some popular geostatistics models.


Authors who are presenting talks have a * after their name.

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