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Article Dans Une Revue Electronic Journal of Statistics Année : 2017

Bayesian inference for multivariate extreme value distributions

Résumé

Statistical modeling of multivariate and spatial extreme events has attracted broad attention in various areas of science. Max-stable distributions and processes are the natural class of models for this purpose, and many parametric families have been developed and successfully applied. Due to complicated likelihoods, the efficient statistical inference is still an active area of research, and usually composite likelihood methods based on bivariate densities only are used. Thibaud et al. (2016) use a Bayesian approach to fit a Brown–Resnick process to extreme temperatures. In this paper, we extend this idea to a methodology that is applicable to general max-stable distributions and that uses full likelihoods. We further provide simple conditions for the asymptotic normality of the median of the posterior distribution and verify them for the commonly used models in multi-variate and spatial extreme value statistics. A simulation study shows that this point estimator is considerably more efficient than the composite likelihood estimator in a frequentist framework. From a Bayesian perspective, our approach opens the way for new techniques such as Bayesian model comparison in multivariate and spatial extremes. MSC 2010 subject classifications: Primary 62F15; secondary 60G70, 62F12.
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Dates et versions

hal-01771128 , version 1 (19-04-2018)

Identifiants

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Clément Dombry, Sebastian Engelke, Marco Oesting. Bayesian inference for multivariate extreme value distributions. Electronic Journal of Statistics , 2017, 11, pp.4813 - 4844. ⟨10.1214/17-EJS1367⟩. ⟨hal-01771128⟩
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