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arXiv · 1207.6886

Estimation of Huesler-Reiss distributions and Brown-Resnick processes

Sebastian Engelke·Alexander Malinowski·Zakhar Kabluchko·Martin Schlather
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Abstract

Estimation of extreme-value parameters from observations in the max-domain of attraction (MDA) of a multivariate max-stable distribution commonly uses aggregated data such as block maxima. Since we expect that additional information is contained in the non-aggregated, single "large" observations, we introduce a new approach of inference based on a multivariate peaks-over-threshold method. We show that for any process in the MDA of the frequently used Hüsler-Reiss model or its spatial extension, the Brown-Resnick process, suitably defined conditional increments asymptotically follow a multivariate Gaussian distribution. This leads to computationally efficient estimates of the Hüsler-Reiss parameter matrix. Further, the results enable parametric inference for Brown-Resnick processes. A simulation study compares the performance of the new estimators to other commonly used methods. As an application, we fit a non-isotropic Brown-Resnick process to the extremes of 12 year data of daily wind speed measurements.

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Sebastian Engelke, Alexander Malinowski, Zakhar Kabluchko, Martin Schlather. 2012-09-25. Estimation of Huesler-Reiss distributions and Brown-Resnick processes. https://arxiv.org/abs/1207.6886

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