Composite likelihood estimation for the Brown-Resnick process

Raphael Huser, A. C. Davison

Research output: Contribution to journalArticlepeer-review

68 Scopus citations

Abstract

Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.

Original languageEnglish (US)
Pages (from-to)511-518
Number of pages8
JournalBiometrika
Volume100
Issue number2
DOIs
StatePublished - Jun 1 2013

Keywords

  • Brown-Resnick process
  • Composite likelihood
  • Max-stable process
  • Pairwise likelihood
  • Smith model
  • Triplewise likelihood

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics(all)
  • Agricultural and Biological Sciences (miscellaneous)
  • Agricultural and Biological Sciences(all)
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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