Efficient inference and simulation for elliptical Pareto processes

Emeric Thibaud and Thomas Opitz

Biometrika, 2015, vol. 102, issue 4, 855-870

Abstract: Recent advances in extreme value theory have established $\ell $-Pareto processes as the natural limits for extreme events defined in terms of exceedances of a risk functional. In this paper we provide methods for the practical modelling of data based on a tractable yet flexible dependence model. We introduce the class of elliptical $\ell $-Pareto processes, which arise as the limits of threshold exceedances of certain elliptical processes characterized by a correlation function and a shape parameter. An efficient inference method based on maximizing a full likelihood with partial censoring is developed. Novel procedures for exact conditional and unconditional simulation are proposed. These ideas are illustrated using precipitation extremes in Switzerland.

Date: 2015
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Citations: View citations in EconPapers (11)

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