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Composite likelihood estimation for the Brown-Resnick process

Huser, R. ; Davison, A. C.

In: Biometrika, 2013, vol. 100, no. 2, p. 511-518

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    Titre
    • Composite likelihood estimation for the Brown-Resnick process
    Auteur
    • Huser, R.. Institute of Mathematics, Ecole Polytechnique Fédérale de Lausanne, 1015 Lausanne, Switzerland
    • Davison, A. C.. Institute of Mathematics, Ecole Polytechnique Fédérale de Lausanne, 1015 Lausanne, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Biometrika, 2013, vol. 100, no. 2, p. 511-518. Oxford University Press
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:295872
    Summary
    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