Max-convolution processes with random shape indicator kernels

Pavel Krupskii and Raphaël Huser

Journal of Multivariate Analysis, 2024, vol. 203, issue C

Abstract: In this paper, we introduce a new class of models for spatial data obtained from max-convolution processes based on indicator kernels with random shape. We show that these models have appealing dependence properties including tail dependence at short distances and independence at long distances. We further consider max-convolutions between such processes and processes with tail independence, in order to separately control the bulk and tail dependence behaviors, and to increase flexibility of the model at longer distances, in particular, to capture intermediate tail dependence. We show how parameters can be estimated using a weighted pairwise likelihood approach, and we conduct an extensive simulation study to show that the proposed inference approach is feasible in relatively high dimensions and it yields accurate parameter estimates in most cases. We apply the proposed methodology to analyze daily temperature maxima measured at 100 monitoring stations in the state of Oklahoma, US. Our results indicate that our proposed model provides a good fit to the data, and that it captures both the bulk and the tail dependence structures accurately.

Keywords: Kernel convolution process; Short-range spatial dependence; Spatial process; Tail dependence (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.jmva.2024.105340

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