Space-time max-stable models with spectral separability
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Date
2016-07
Publication Type
Journal Article
ETH Bibliography
yes
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Abstract
Natural disasters may have considerable impact on society as well as on the (re-)insurance
industry. Max-stable processes are ideally suited for the modelling of the spatial extent of
such extreme events, but it is often assumed that there is no temporal dependence. Only
a few papers have introduced spatiotemporal max-stable models, extending the Smith,
Schlather and Brown–Resnick spatial processes. These models suffer from two major
drawbacks: time plays a similar role to space and the temporal dynamics are not explicit.
In order to overcome these defects, we introduce spatiotemporal max-stable models where
we partly decouple the influence of time and space in their spectral representations.
We introduce both continuous- and discrete-time versions. We then consider particular
Markovian cases with a max-autoregressive representation and discuss their properties.
Finally, we briefly propose an inference methodology which is tested through a simulation
study.
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Publication status
published
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Book title
Journal / series
Volume
48 (A)
Pages / Article No.
77 - 97
Publisher
Cambridge University Press
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Extreme value theory; Spatiotemporal max-stable process; Spectral separability; Temporal dependence
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher.