On the likelihood function of Gaussian max-stable processes

被引：69

作者：

Genton, Marc G. ^{[1
]}

Ma, Yanyuan ^{[1
]}

Sang, Huiyan ^{[1
]}

机构：

[1] Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA

来源：

BIOMETRIKA | 2011年 / 98卷 / 02期

基金：

美国国家科学基金会;

关键词：

Composite likelihood; Extreme event; Multivariate index; Pairwise and triplewise inference; Spatial statistics; INFERENCE; MODELS;

D O I：

10.1093/biomet/asr020

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by R-d at p < d+1 sites, d >= 1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from p=2 to p=3 sites in R-2 by means of a Monte Carlo simulation study.

引用

页码：481 / 488

页数：8

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