Amortized Bayesian Inference for Spatio-Temporal Extremes: A Copula Factor Model with Autoregression

Abstract

We develop a Bayesian spatio-temporal framework for extreme-value analysis that augments a hierarchical copula model with an autoregressive factor to capture residual temporal dependence in threshold exceedances. The factor can be specified as spatially varying or spatially constant, and the scale parameter incorporates scientifically relevant covariates (e.g., longitude, latitude, altitude), enabling flexible representation of geographic heterogeneity. To avoid the computational burden of the full censored likelihood, we design a Gibbs sampler that embeds amortized neural posterior estimation within each parameter block, yielding scalable inference with full posterior uncertainty for parameters, predictive quantiles, and return levels. Simulation studies demonstrate that the approach improves MCMC mixing and estimation accuracy relative to baseline specifications, particularly when using moderately more complex network architectures, while preserving heavy-tail behavior. We illustrate the methodology with daily precipitation in Guanacaste, Costa Rica, evaluating a suite of nested models and selecting the best-performing factor combination via out-of-sample diagnostics. The chosen specification reveals coherent spatial patterns in multi-year return periods and provides actionable information for infrastructure planning and climate-risk management in a tropical dry region strongly influenced by climatic factors. The proposed Gibbs scheme generalizes to other settings where parameters can be partitioned into inferentially homogeneous blocks and conditionals learned via amortized, likelihood-free methods.