论文信息 - On the likelihood function of Gaussian max-stable processes

On the likelihood function of Gaussian max-stable processes

We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by R-super-d at p≤dp1 sites, d≥1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from pe2 to pe3 sites in R-super-2 by means of a Monte Carlo simulation study. Copyright 2011, Oxford University Press.

[1] A. Genz. Numerical Computation of Multivariate Normal Probabilities , 1992 .

[2] S. Padoan,et al. Likelihood-Based Inference for Max-Stable Processes , 2009, 0902.3060.

[3] C. Varin,et al. A note on composite likelihood inference and model selection , 2005 .

[4] A. Genz,et al. Computation of Multivariate Normal and t Probabilities , 2009 .

[5] Richard L. Smith,et al. Approximate Bayesian computing for spatial extremes , 2011, Comput. Stat. Data Anal..

[6] Frank Bretz,et al. Comparison of Methods for the Computation of Multivariate t Probabilities , 2002 .

[7] N. Reid,et al. AN OVERVIEW OF COMPOSITE LIKELIHOOD METHODS , 2011 .

[8] D. Cox,et al. A note on pseudolikelihood constructed from marginal densities , 2004 .

[9] Laurens de Haan,et al. Spatial extremes: Models for the stationary case , 2006 .

[10] Harry Joe,et al. Composite Likelihood Methods , 2012 .

[11] L. de Haan,et al. A Spectral Representation for Max-stable Processes , 1984 .

[12] Some new classes of stationary max-stable random fields , 2013 .

[13] N. U. Prabhu,et al. Statistical inference in stochastic processes , 1988 .

[14] Richard A. Davis,et al. COMMENTS ON PAIRWISE LIKELIHOOD IN TIME SERIES MODELS , 2011 .