Composite likelihood estimation for the Brown-Resnick process

被引：88

作者：

Huser, R. ^{[1
]}

Davison, A. C. ^{[1
]}

机构：

[1] Ecole Polytech Fed Lausanne, Inst Math, CH-1015 Lausanne, Switzerland

来源：

BIOMETRIKA | 2013年 / 100卷 / 02期

基金：

瑞士国家科学基金会;

关键词：

Brown-Resnick process; Composite likelihood; Max-stable process; Pairwise likelihood; Smith model; Triplewise likelihood;

D O I：

10.1093/biomet/ass089

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.

引用

页码：511 / 518

页数：8

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