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Authors: Mauricio Nascimento, Benjamin A. Shaby
Title: [download]
(1769)
Spatial Semi-parametric Spectral Density Estimation for Multivariate Extremes, with Application to Fire Threat
Reference: Vol. 9, Issue 3, Sep 2019
Submitted 2018-10-31, Accepted 2019-09-15
Type: Article
Abstract:

We analyze the joint tail of two variables related to fire threat associated with Santa Ana Winds in Southern California. To do this, we apply a flexible model for the joint tail of asymptotically dependent multivariate distributions, when samples are taken at several locations across space. We use a spatial prior on the underlying multivariate extremal dependence structure, which enables us to borrow strength across space while still allowing for different joint tail distributions at different spatial locations, and to predict the joint tail of the distribution at un-observed locations. A simulation shows that this model is able to capture complex dependence structures well.

Paper: [download]
(1769)
Spatial Semi-parametric Spectral Density Estimation for Multivariate Extremes, with Application to Fire Threat
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Paper: Creative Commons Attribution 3.0 Unported License
Code: Commons GNU General Public License License
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