Maximum composite likelihood estimation for spatial extremes models of Brown–Resnick type with application to precipitation data

Moosup Kim and Sangyeol Lee

Scandinavian Journal of Statistics, 2022, vol. 49, issue 3, 1023-1059

Abstract: In this study, we consider the maximum composite likelihood estimator for spatial extremes model class of Brown–Resnick type. The composite likelihood is constructed based on the weighted tail empirical process. It is shown that the proposed estimator is consistent and asymptotically normal under some regularity conditions fulfilled by the model class. We conduct Monte Carlo simulations to evaluate the estimator and apply it to the analysis of a precipitation data set.

Date: 2022
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https://doi.org/10.1111/sjos.12551

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