UL Extremes Webinar

High-dimensional inference for max-stable processes

Transmissão através de Videoconferência

Speaker: Boris Beranger (School of Mathematics and Statistics, University New South Wales, Sydney).

Droughts, high temperatures and strong winds are key causes of the recent bushfires that have touched a major part of the Australian territory. Such extreme events seem to appear with increasing frequency, creating an urgent need to better understand the behaviour of extreme environmental phenomena. Max-stable processes are a widely popular tool to model spatial extreme events with several flexible models available in the literature. For inference on max-stable models, exact likelihood estimation becomes quickly computationally intractable as the number of spatial locations grows, limiting their applicability to large study regions or fine grids. In this talk, we introduce two methodologies based on composite likelihoods, to circumvent this issue. First, we assume the occurrence times of maxima available in order to incorporate the Stephenson-Tawn concept into the composite likelihood framework. Second, we propose to aggregate the information between locations into histograms and to derive a composite likelihood variation for these summaries. The significant improvements in performance of each estimation procedures is established through simulation studies and illustrated on two temperature datasets from Australia.

Zoom: https://videoconf-colibri.zoom.us/j/94079626733.


The UL Extremes Webinar is an initiative for bringing together on a regular basis (about once a month) all those interested in Extreme Value Theory and Applications. It should be an opportunity to share and discuss most recent research advances in the field. Emphasis shall be given to work developed in Portugal or with major Portuguese contribution.

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