메뉴 건너뛰기




Volumn 76, Issue 2, 2014, Pages 439-461

Space-time modelling of extreme events

Author keywords

Composite likelihood; Extremal coefficient; Max stable process; Rainfall data; Random set; Threshold based inference

Indexed keywords


EID: 84893717397     PISSN: 13697412     EISSN: 14679868     Source Type: Journal    
DOI: 10.1111/rssb.12035     Document Type: Article
Times cited : (184)

References (59)
  • 1
    • 84875395346 scopus 로고    scopus 로고
    • Testing for a generalized Pareto process
    • Aulbach, S. and Falk, M. (2012) Testing for a generalized Pareto process. Electron. J. Statist., 6, 1779-1802.
    • (2012) Electron. J. Statist. , vol.6 , pp. 1779-1802
    • Aulbach, S.1    Falk, M.2
  • 3
    • 84862889453 scopus 로고    scopus 로고
    • Estimating space and space-time covariance functions: a weighted composite likelihood approach
    • Bevilacqua, M., Gaetan, C., Mateu, J. and Porcu, E. (2012) Estimating space and space-time covariance functions: a weighted composite likelihood approach. J. Am. Statist. Ass., 107, 268-280.
    • (2012) J. Am. Statist. Ass. , vol.107 , pp. 268-280
    • Bevilacqua, M.1    Gaetan, C.2    Mateu, J.3    Porcu, E.4
  • 4
    • 81155126713 scopus 로고    scopus 로고
    • Spatial modelling of extreme snow depth
    • Blanchet, J. and Davison, A. C. (2011) Spatial modelling of extreme snow depth. Ann. Appl. Statist., 5, 1699-1725.
    • (2011) Ann. Appl. Statist. , vol.5 , pp. 1699-1725
    • Blanchet, J.1    Davison, A.C.2
  • 5
    • 0034354804 scopus 로고    scopus 로고
    • The multivariate Gaussian tail model: an application to oceanographic data
    • Bortot, P., Coles, S. and Tawn, J. A. (2000) The multivariate Gaussian tail model: an application to oceanographic data. Appl. Statist., 49, 31-49.
    • (2000) Appl. Statist. , vol.49 , pp. 31-49
    • Bortot, P.1    Coles, S.2    Tawn, J.A.3
  • 6
    • 84989871453 scopus 로고    scopus 로고
    • Introduction to Strong Mixing Conditions
    • Heber City: Kendrick.
    • Bradley, R. C. (2007) Introduction to Strong Mixing Conditions, vol. 1. Heber City: Kendrick.
    • (2007) , vol.1
    • Bradley, R.C.1
  • 7
    • 25144447744 scopus 로고
    • Extreme values of independent stochastic processes
    • Brown, B. M. and Resnick, S. (1977) Extreme values of independent stochastic processes. J. Appl. Probab., 14, 732-739.
    • (1977) J. Appl. Probab. , vol.14 , pp. 732-739
    • Brown, B.M.1    Resnick, S.2
  • 8
    • 67449110829 scopus 로고    scopus 로고
    • On spatial extremes: with application to a rainfall problem
    • Buishand, T. A., de Haan, L. and Zhou, C. (2008) On spatial extremes: with application to a rainfall problem. Ann. Appl. Statist., 2, 624-642.
    • (2008) Ann. Appl. Statist. , vol.2 , pp. 624-642
    • Buishand, T.A.1    de Haan, L.2    Zhou, C.3
  • 10
    • 24144486294 scopus 로고    scopus 로고
    • A note on pseudolikelihood constructed from marginal densities
    • Cox, D. R. and Reid, N. (2004) A note on pseudolikelihood constructed from marginal densities. Biometrika, 91, 729-737.
    • (2004) Biometrika , vol.91 , pp. 729-737
    • Cox, D.R.1    Reid, N.2
  • 11
    • 0442325070 scopus 로고    scopus 로고
    • Classes of nonseparable, spatio-temporal stationary covariance functions
    • Cressie, N. and Huang, H.-C. (1999) Classes of nonseparable, spatio-temporal stationary covariance functions. J. Am. Statist. Ass., 94, 1330-1340.
    • (1999) J. Am. Statist. Ass. , vol.94 , pp. 1330-1340
    • Cressie, N.1    Huang, H.-C.2
  • 12
    • 84880045343 scopus 로고    scopus 로고
    • Max-stable processes for modelling extremes observed in space and time
    • to be published, doi 10.1016/j.jkss.2013.01.002.
    • Davis, R. A., Klüppelberg, C. and Steinkohl, C. (2013a) Max-stable processes for modelling extremes observed in space and time. J. Kor. Statist. Soc., to be published, doi 10.1016/j.jkss.2013.01.002.
    • (2013) J. Kor. Statist. Soc.
    • Davis, R.A.1    Klüppelberg, C.2    Steinkohl, C.3
  • 13
    • 84885863251 scopus 로고    scopus 로고
    • Statistical inference for max-stable processes in space and time
    • Davis, R. A., Klüppelberg, C. and Steinkohl, C. (2013b) Statistical inference for max-stable processes in space and time. J. R. Statist. Soc. B, 75, 791-819.
    • (2013) J. R. Statist. Soc. B , vol.75 , pp. 791-819
    • Davis, R.A.1    Klüppelberg, C.2    Steinkohl, C.3
  • 14
    • 39149137261 scopus 로고    scopus 로고
    • Extreme value theory for space-time processes with heavy-tailed distributions
    • Davis, R. A. and Mikosch, T. (2008) Extreme value theory for space-time processes with heavy-tailed distributions. Stoch. Processes Appl., 118, 560-584.
    • (2008) Stoch. Processes Appl. , vol.118 , pp. 560-584
    • Davis, R.A.1    Mikosch, T.2
  • 15
    • 78650400951 scopus 로고    scopus 로고
    • Comments on pairwise likelihood in time series models
    • Davis, R. A. and Yau, C. Y. (2011) Comments on pairwise likelihood in time series models. Statist. Sin., 21, 255-277.
    • (2011) Statist. Sin. , vol.21 , pp. 255-277
    • Davis, R.A.1    Yau, C.Y.2
  • 18
    • 84879928321 scopus 로고    scopus 로고
    • Geostatistics of dependent and asymptotically independent extremes
    • Davison, A. C., Huser, R. and Thibaud, E. (2013) Geostatistics of dependent and asymptotically independent extremes. Math. Geosci., 45, 511-529.
    • (2013) Math. Geosci. , vol.45 , pp. 511-529
    • Davison, A.C.1    Huser, R.2    Thibaud, E.3
  • 19
    • 84866270052 scopus 로고    scopus 로고
    • Statistical modelling of spatial extremes (with discussion)
    • Davison, A. C., Padoan, S. A. and Ribatet, M. (2012) Statistical modelling of spatial extremes (with discussion). Statist. Sci., 27, 161-186.
    • (2012) Statist. Sci. , vol.27 , pp. 161-186
    • Davison, A.C.1    Padoan, S.A.2    Ribatet, M.3
  • 20
    • 0000617024 scopus 로고
    • Models for exceedances over high thresholds (with discussion)
    • Davison, A. C. and Smith, R. L. (1990) Models for exceedances over high thresholds (with discussion). J. R. Statist. Soc. B, 52, 393-442.
    • (1990) J. R. Statist. Soc. B , vol.52 , pp. 393-442
    • Davison, A.C.1    Smith, R.L.2
  • 21
    • 0003998752 scopus 로고    scopus 로고
    • Modelling Extremal Events for Insurance and Finance
    • Berlin: Springer.
    • Embrechts, P., Klüppelberg, C. and Mikosch, T. (1997) Modelling Extremal Events for Insurance and Finance. Berlin: Springer.
    • (1997)
    • Embrechts, P.1    Klüppelberg, C.2    Mikosch, T.3
  • 22
    • 84893813354 scopus 로고    scopus 로고
    • The Generalized Pareto process; with a view towards application and simulation. Preprint arXiv:1203.2551v2.
    • Ferreira, A. and de Haan, L. (2012) The Generalized Pareto process; with a view towards application and simulation. Preprint arXiv:1203.2551v2.
    • (2012)
    • Ferreira, A.1    de Haan, L.2
  • 23
    • 79957814400 scopus 로고    scopus 로고
    • On the likelihood function of Gaussian maxstable processes
    • Genton, M. G., Ma, Y. and Sang, H. (2011) On the likelihood function of Gaussian maxstable processes. Biometrika, 98, 481-488.
    • (2011) Biometrika , vol.98 , pp. 481-488
    • Genton, M.G.1    Ma, Y.2    Sang, H.3
  • 24
    • 0035998830 scopus 로고    scopus 로고
    • Nonseparable, stationary covariance functions for space-time data
    • Gneiting, T. (2002) Nonseparable, stationary covariance functions for space-time data. J. Am. Statist. Ass., 97, 590-600.
    • (2002) J. Am. Statist. Ass. , vol.97 , pp. 590-600
    • Gneiting, T.1
  • 25
    • 34250751629 scopus 로고    scopus 로고
    • Geostatistical space-time models, stationarity, separability, and full symmetry
    • (eds B. Finkenstädt, L. Held and V. Isham). Boca Raton: Chapman and Hall-CRC.
    • Gneiting, T., Genton, M. G. and Guttorp, P. (2007) Geostatistical space-time models, stationarity, separability, and full symmetry. In Statistical Methods for Spatio-temporal Systems (eds B. Finkenstädt, L. Held and V. Isham ), pp. 151-175. Boca Raton: Chapman and Hall-CRC.
    • (2007) Statistical Methods for Spatio-temporal Systems , pp. 151-175
    • Gneiting, T.1    Genton, M.G.2    Guttorp, P.3
  • 26
    • 0000390402 scopus 로고
    • Quasi-likelihood and optimal estimation
    • Godambe, V. P. and Heyde, C. C. (1987) Quasi-likelihood and optimal estimation. Int. Statist. Rev., 55, 231-244.
    • (1987) Int. Statist. Rev. , vol.55 , pp. 231-244
    • Godambe, V.P.1    Heyde, C.C.2
  • 27
    • 0000522339 scopus 로고
    • A spectral representation for max-stable processes
    • de Haan, L. (1984) A spectral representation for max-stable processes. Ann. Probab., 12, 1194-1204.
    • (1984) Ann. Probab. , vol.12 , pp. 1194-1204
    • de Haan, L.1
  • 29
    • 38849199252 scopus 로고    scopus 로고
    • ML, PL, QL in Markov chain models
    • Hjort, N. L. and Varin, C. (2008) ML, PL, QL in Markov chain models. Scand. J. Statist., 35, 64-82.
    • (2008) Scand. J. Statist. , vol.35 , pp. 64-82
    • Hjort, N.L.1    Varin, C.2
  • 30
    • 84878038506 scopus 로고    scopus 로고
    • Composite likelihood estimation for the Brown-Resnick process
    • Huser, R. and Davison, A. C. (2013) Composite likelihood estimation for the Brown-Resnick process. Biometrika, 100, 511-518.
    • (2013) Biometrika, , vol.100 , pp. 511-518
    • Huser, R.1    Davison, A.C.2
  • 31
    • 58349120179 scopus 로고    scopus 로고
    • On weighting of bivariate margins in pairwise likelihood
    • Joe, H. and Lee, Y. (2009) On weighting of bivariate margins in pairwise likelihood. J. Multiv. Anal., 100, 670-685.
    • (2009) J. Multiv. Anal. , vol.100 , pp. 670-685
    • Joe, H.1    Lee, Y.2
  • 32
    • 73749084760 scopus 로고    scopus 로고
    • Ergodic properties of max-infinitely divisible processes
    • Kabluchko, Z. and Schlather, M. (2010) Ergodic properties of max-infinitely divisible processes. Stoch. Processes Appl., 120, 281-295.
    • (2010) Stoch. Processes Appl. , vol.120 , pp. 281-295
    • Kabluchko, Z.1    Schlather, M.2
  • 33
    • 70450243669 scopus 로고    scopus 로고
    • Stationary max-stable fields associated to negative definite functions
    • Kabluchko, Z., Schlather, M. and de Haan, L. (2009) Stationary max-stable fields associated to negative definite functions. Ann. Probab., 37, 2042-2065.
    • (2009) Ann. Probab. , vol.37 , pp. 2042-2065
    • Kabluchko, Z.1    Schlather, M.2    de Haan, L.3
  • 34
    • 0000014337 scopus 로고
    • On a basis for 'Peaks over Threshold' modeling
    • Leadbetter, M. R. (1991) On a basis for 'Peaks over Threshold' modeling. Statist. Probab. Lett., 12, 357-362.
    • (1991) Statist. Probab. Lett. , vol.12 , pp. 357-362
    • Leadbetter, M.R.1
  • 36
    • 33746446858 scopus 로고    scopus 로고
    • Statistics for near independence in multivariate extreme values
    • Ledford, A. W. and Tawn, J. A. (1996) Statistics for near independence in multivariate extreme values. Biometrika, 83, 169-187.
    • (1996) Biometrika , vol.83 , pp. 169-187
    • Ledford, A.W.1    Tawn, J.A.2
  • 37
    • 0001915899 scopus 로고
    • Composite likelihood methods
    • Lindsay, B. G. (1988) Composite likelihood methods. Contemp. Math., 80, 221-239.
    • (1988) Contemp. Math. , vol.80 , pp. 221-239
    • Lindsay, B.G.1
  • 38
    • 67349215118 scopus 로고    scopus 로고
    • Extreme value properties of multivariate t copulas.
    • Nikoloulopoulos, A., Joe, H. and Li, H (2009) Extreme value properties of multivariate t copulas. Extremes, 12, 129-148.
    • (2009) Extremes , vol.12 , pp. 129-148
    • Nikoloulopoulos, A.1    Joe, H.2    Li, H.3
  • 39
    • 80055099864 scopus 로고    scopus 로고
    • Threshold modelling of spatially-dependent non-stationary extremes with application to hurricane-induced wave heights (with discussion)
    • Northrop, P. J. and Jonathan, P. (2011) Threshold modelling of spatially-dependent non-stationary extremes with application to hurricane-induced wave heights (with discussion). Environmetrics, 22, 799-809.
    • (2011) Environmetrics , vol.22 , pp. 799-809
    • Northrop, P.J.1    Jonathan, P.2
  • 40
    • 84893772454 scopus 로고    scopus 로고
    • Extremal t processes: elliptical domain of attraction and a spectral representation.
    • Opitz, T. (2013) Extremal t processes: elliptical domain of attraction and a spectral representation. Preprint arXiv:1207.2296v6.
    • (2013) Preprint arXiv:1207.2296v6
    • Opitz, T.1
  • 41
    • 77951978159 scopus 로고    scopus 로고
    • Likelihood-based inference for max-stable processes
    • Padoan, S. A., Ribatet, M. and Sisson, S. A. (2010) Likelihood-based inference for max-stable processes. J. Am. Statist. Ass., 105, 263-277.
    • (2010) J. Am. Statist. Ass. , vol.105 , pp. 263-277
    • Padoan, S.A.1    Ribatet, M.2    Sisson, S.A.3
  • 43
    • 84871710529 scopus 로고    scopus 로고
    • A hierarchical max-stable spatial model for extreme precipitation
    • Reich, B. J. and Shaby, B. A. (2012) A hierarchical max-stable spatial model for extreme precipitation. Ann. Appl. Statist., 6, 1430-1451.
    • (2012) Ann. Appl. Statist. , vol.6 , pp. 1430-1451
    • Reich, B.J.1    Shaby, B.A.2
  • 44
    • 84858395376 scopus 로고    scopus 로고
    • Bayesian inference from composite likelihoods, with an application to spatial extremes
    • Ribatet, M., Cooley, D. and Davison, A. C. (2012) Bayesian inference from composite likelihoods, with an application to spatial extremes. Statist. Sin., 22, 813-845.
    • (2012) Statist. Sin. , vol.22 , pp. 813-845
    • Ribatet, M.1    Cooley, D.2    Davison, A.C.3
  • 45
    • 36549020018 scopus 로고    scopus 로고
    • Multivariate generalized Pareto distributions
    • Rootzén, H. and Tajvidi, N. (2006) Multivariate generalized Pareto distributions. Bernoulli, 12, 917-930.
    • (2006) Bernoulli , vol.12 , pp. 917-930
    • Rootzén, H.1    Tajvidi, N.2
  • 46
    • 84859464622 scopus 로고    scopus 로고
    • A review of extreme value threshold estimation and uncertainty quantification
    • Scarrott, C. and MacDonald, A. (2012) A review of extreme value threshold estimation and uncertainty quantification. REVSTAT, 10, 33-60.
    • (2012) REVSTAT , vol.10 , pp. 33-60
    • Scarrott, C.1    MacDonald, A.2
  • 47
    • 3843100123 scopus 로고    scopus 로고
    • Models for stationary max-stable random fields
    • Schlather, M. (2002) Models for stationary max-stable random fields. Extremes, 5, 33-44.
    • (2002) Extremes , vol.5 , pp. 33-44
    • Schlather, M.1
  • 48
    • 3543017217 scopus 로고    scopus 로고
    • A dependence measure for multivariate and spatial extreme values: properties and inference
    • Schlather, M. and Tawn, J. (2003) A dependence measure for multivariate and spatial extreme values: properties and inference. Biometrika, 90, 139-156.
    • (2003) Biometrika , vol.90 , pp. 139-156
    • Schlather, M.1    Tawn, J.2
  • 50
    • 84972496066 scopus 로고
    • Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone
    • Smith, R. L. (1989) Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. Statist. Sci., 4, 367-393.
    • (1989) Statist. Sci. , vol.4 , pp. 367-393
    • Smith, R.L.1
  • 51
    • 0043010091 scopus 로고
    • Max-stable processes and spatial extremes
    • Smith, R. L. (1990) Max-stable processes and spatial extremes. Unpublished.
    • (1990) Unpublished
    • Smith, R.L.1
  • 52
    • 0000058587 scopus 로고    scopus 로고
    • Markov chain models for threshold exceedances
    • Smith, R. L., Tawn, J. A. and Coles, S. G. (1997) Markov chain models for threshold exceedances. Biometrika, 84, 249-268.
    • (1997) Biometrika , vol.84 , pp. 249-268
    • Smith, R.L.1    Tawn, J.A.2    Coles, S.G.3
  • 53
    • 46649119286 scopus 로고    scopus 로고
    • On composite marginal likelihoods
    • Varin, C. (2008) On composite marginal likelihoods. Adv. Statist. Anal., 92, 1-28.
    • (2008) Adv. Statist. Anal. , vol.92 , pp. 1-28
    • Varin, C.1
  • 54
    • 72649105157 scopus 로고    scopus 로고
    • A mixed autoregressive probit model for ordinal longitudinal data
    • Varin, C. and Czado, C. (2010) A mixed autoregressive probit model for ordinal longitudinal data. Biostatistics, 11, 127-138.
    • (2010) Biostatistics , vol.11 , pp. 127-138
    • Varin, C.1    Czado, C.2
  • 55
    • 78650324852 scopus 로고    scopus 로고
    • An overview of composite likelihood methods
    • Varin, C., Reid, N. and Firth, D. (2011) An overview of composite likelihood methods. Statist. Sin., 21, 5-42.
    • (2011) Statist. Sin. , vol.21 , pp. 5-42
    • Varin, C.1    Reid, N.2    Firth, D.3
  • 56
    • 24144441738 scopus 로고    scopus 로고
    • A note on composite likelihood inference and model selection
    • Varin, C. and Vidoni, P. (2005) A note on composite likelihood inference and model selection. Biometrika, 92, 519-528.
    • (2005) Biometrika , vol.92 , pp. 519-528
    • Varin, C.1    Vidoni, P.2
  • 57
    • 58149127824 scopus 로고    scopus 로고
    • Pairwise likelihood inference for general state space models
    • Varin, C. and Vidoni, P. (2009) Pairwise likelihood inference for general state space models. Econmetr. Rev., 28, 170-185.
    • (2009) Econmetr. Rev. , vol.28 , pp. 170-185
    • Varin, C.1    Vidoni, P.2
  • 58
    • 84859470447 scopus 로고    scopus 로고
    • Dependence modelling for spatial extremes
    • Wadsworth, J. and Tawn, J. (2012) Dependence modelling for spatial extremes. Biometrika, 99, 253-272.
    • (2012) Biometrika , vol.99 , pp. 253-272
    • Wadsworth, J.1    Tawn, J.2
  • 59
    • 84893808067 scopus 로고    scopus 로고
    • Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
    • Biometrika, to be published.
    • Wadsworth, J. L. and Tawn, J. A. (2013) Efficient inference for spatial extreme value processes associated to log-Gaussian random functions. Biometrika, to be published.
    • (2013)
    • Wadsworth, J.L.1    Tawn, J.A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.