Efficient inference and simulation for elliptical Pareto processes
Methodology
2015-12-21 v2
Abstract
Recent advances in extreme value theory have established -Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. Here we provide methods for the practical modelling of data based on a tractable yet flexible dependence model. We introduce the class of elliptical -Pareto processes, which arise as the limit of threshold exceedances of certain elliptical processes characterized by a correlation function and a shape parameter. An efficient inference method based on maximizing a full likelihood with partial censoring is developed. Novel procedures for exact conditional and unconditional simulation are proposed. These ideas are illustrated using precipitation extremes in Switzerland.
Cite
@article{arxiv.1401.0168,
title = {Efficient inference and simulation for elliptical Pareto processes},
author = {Emeric Thibaud and Thomas Opitz},
journal= {arXiv preprint arXiv:1401.0168},
year = {2015}
}