On the likelihood function of Gaussian max-stable processes

Marc G. Genton, Yanyuan Ma and Huiyan Sang

Biometrika, 2011, vol. 98, issue 2, 481-488

Abstract: We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by ℝ-super-d at p≤d+1 sites, d≥1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from p=2 to p=3 sites in ℝ-super-2 by means of a Monte Carlo simulation study. Copyright 2011, Oxford University Press.

Date: 2011
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