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Journal Articles Revista de Investigacion Operacional Year : 2020

Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models

Abstract

Max-mixture processes are defined as Z = max(aX, (1 − a)Y) with X an asymptotic dependent (AD) process, Y an asymptotic independent (AI) process and a ∈ [0, 1]. So that, the mixing coefficient a may reveal the strength of the AD part present in the max-mixture process. In this paper we focus on two tests based on censored pairwise likelihood estimates. We compare their performance through an extensive simulation study. Monte Carlo simulation plays a fundamental tool for asymptotic variance calculations. We apply our tests to daily precipitations from the East of Australia. Drawbacks and possible developments are discussed.
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Dates and versions

hal-01655031 , version 1 (07-12-2017)

Identifiers

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Abdul-Fattah Abu-Awwad, Véronique Maume-Deschamps, Ribereau Pierre. Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models. Revista de Investigacion Operacional, 2020, 41 (1), pp.1-26. ⟨10.48550/arXiv.1712.02990⟩. ⟨hal-01655031⟩
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