Anisotropic Brown-Resnick space-time processes: estimation and model assessment

作者：Buhl Sven^*; Klueppelberg Claudia

来源：Extremes, 2016, 19(4): 627-660.

DOI：10.1007/s10687-016-0257-1

• Anisotropic space-time process
• Brown-Resnick space-time process
• Hypothesis test for spatial isotropy
• Max-stable process
• Max-stable model check
• Pairwise likelihood
• Pairwise maximum likelihood estimate

Spatially isotropic max-stable processes have been used to model extreme spatial or space-time observations. One prominent model is the Brown-Resnick process, which has been successfully fitted to time series, spatial data and space-time data. This paper extends the process to possibly anisotropic spatial structures. For regular grid observations we prove strong consistency and asymptotic normality of pairwise maximum likelihood estimates for fixed and increasing spatial domain, when the number of observations in time tends to infinity. We also present a statistical test for isotropy versus anisotropy. We apply our test to precipitation data in Florida, and present some diagnostic tools for model assessment. Finally, we present a method to predict conditional probability fields and apply it to the data.

• 出版日期2016-12