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arXiv · 1609.04967

Semiparametric estimation for isotropic max-stable space-time processes

Sven Buhl·Richard A. Davis·Claudia Klüppelberg·Christina Steinkohl
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Abstract

Regularly varying space-time processes have proved useful to study extremal dependence in space-time data. We propose a semiparametric estimation procedure based on a closed form expression of the extremogram to estimate parametric models of extremal dependence functions. We establish the asymptotic properties of the resulting parameter estimates and propose subsampling procedures to obtain asymptotically correct confidence intervals. A simulation study shows that the proposed procedure works well for moderate sample sizes and is robust to small departures from the underlying model. Finally, we apply this estimation procedure to fitting a max-stable process to radar rainfall measurements in a region in Florida. Complementary results and some proofs of key results are presented together with the simulation study in the supplement.

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Sven Buhl, Richard A. Davis, Claudia Klüppelberg, Christina Steinkohl. 2016-09-16. Semiparametric estimation for isotropic max-stable space-time processes. https://arxiv.org/abs/1609.04967

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