Modeling Extreme Wind Speeds Using Max-Infinitely Divisible Spatial Processes

• Activity Number: 108 - Multivariate Extremes: Theory and Applications
• Type: Invited
• Date/Time: Monday, July 29, 2019 : 8:30 AM to 10:20 AM
• Sponsor: Section on Risk Analysis
• Author(s): Raphaël Huser* and Thomas Opitz and Emeric Thibaud
• Companies: King Abdullah University of Science and Technology and INRA and EPFL
• Keywords: Asymptotic dependence and independence; Block maximum; Extreme event; Max-infinitely divisible process; Max-stable process; Sub-asymptotic modeling

Abstract

We propose a new flexible modelling framework for spatial extremes, based on the class of max-infinitely divisible processes, extending the class of max-stable processes while retaining dependence properties that are natural for maxima: max-infinitely divisible models are positively associated, and they yield a self-consistent family of models for block maxima defined over any time unit. We propose two parametric construction principles for max-infinitely divisible models, emphasising a spectral representation that allows for asymptotic independence while keeping the max-stable extremal-t model as a special case. Parameter estimation is performed by pairwise likelihood, and we illustrate the benefits of our new modelling framework with an application to Dutch wind gust maxima calculated over different time units.