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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
Abstract #300061
Title: Modeling Extreme Wind Speeds Using Max-Infinitely Divisible Spatial Processes
Author(s): Raphaƫl 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

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.

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

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