Space‒time max-stable models with spectral separability - Archive ouverte HAL
Article Dans Une Revue Advances in Applied Probability Année : 2016

Space‒time max-stable models with spectral separability

Résumé

Abstract Natural disasters may have considerable impact on society as well as on the (re-)insurance industry. Max-stable processes are ideally suited for the modelling of the spatial extent of such extreme events, but it is often assumed that there is no temporal dependence. Only a few papers have introduced spatiotemporal max-stable models, extending the Smith, Schlather and Brown‒Resnick spatial processes. These models suffer from two major drawbacks: time plays a similar role to space and the temporal dynamics are not explicit. In order to overcome these defects, we introduce spatiotemporal max-stable models where we partly decouple the influence of time and space in their spectral representations. We introduce both continuous- and discrete-time versions. We then consider particular Markovian cases with a max-autoregressive representation and discuss their properties. Finally, we briefly propose an inference methodology which is tested through a simulation study.

Dates et versions

hal-04854667 , version 1 (23-12-2024)

Identifiants

Citer

Paul Embrechts, Erwan Koch, Christian Robert. Space‒time max-stable models with spectral separability. Advances in Applied Probability, 2016, 48 (A), pp.77-97. ⟨10.1017/apr.2016.43⟩. ⟨hal-04854667⟩
0 Consultations
0 Téléchargements

Altmetric

Partager

More