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Composite likelihood estimation for the Brown--Resnick process

R. Huser and A. C. Davison

Biometrika, 2013, vol. 100, issue 2, 511-518

Abstract: Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown--Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications. Copyright 2013, Oxford University Press.

Date: 2013
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Handle: RePEc:oup:biomet:v:100:y:2013:i:2:p:511-518