Modeling of Nonstationarity in Spatial Extremes

• Activity Number: 469
• Type: Contributed
• Date/Time: Wednesday, August 6, 2014 : 8:30 AM to 10:20 AM
• Sponsor: Section on Statistics and the Environment
• Author(s): Raphael Huser*+
• Keywords: Spatial extremes ; Nonstationarity ; Max-stable process ; Pairwise likelihood

Abstract

Max-stable processes are natural models for spatial extremes, because they provide suitable asymptotic approximations to the distribution of maxima of random fields. In the recent past, several parametric families of stationary max-stable models have been developed, and fitted to various types of data. However, a recurrent problem is the modelling of non-stationarity. While it is fairly straightforward to build non-stationary models for marginal distributions, it is much less obvious to model non-stationarity in the dependence structure of extremal data, and there have been very few attempts to address this important issue so far. In my talk, I will discuss non-stationarity modelling in max-stable processes and show how inference can be performed using pairwise likelihoods. If time allows, I will also illustrate the methodology with an application to environmental data.