Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models
Statistics Theory
2017-12-11 v1 Probability
Statistics Theory
Abstract
Max-mixture processes are defined as Z = max(aX, (1 -- a)Y) with X an asymptotic dependent (AD) process, Y an asymptotic independent (AI) process and a [0, 1]. So that, the mixing coefficient a may reveal the strength of the AD part present in the max-mixture process. In this paper we focus on two tests based on censored pairwise likelihood estimates. We compare their performance through an extensive simulation study. Monte Carlo simulation plays a fundamental tool for asymptotic variance calculations. We apply our tests to daily precipitations from the East of Australia. Drawbacks and possible developments are discussed.
Keywords
Cite
@article{arxiv.1712.02990,
title = {Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models},
author = {Abdul-Fattah Abu-Awwad and Véronique Maume-Deschamps and Ribereau Pierre},
journal= {arXiv preprint arXiv:1712.02990},
year = {2017}
}