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Maximum composite likelihood estimation for spatial extremes models of Brown-Resnick type with application to precipitation data

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Issue Date
Publisher
Blackwell Publishing Inc.
Citation
Scandinavian Journal of Statistics
Abstract
In this study, we consider the maximum composite likelihood estimator for spatial extremes model class of Brown-Resnick type. The composite likelihood is constructed based on the weighted tail empirical process. It is shown that the proposed estimator is consistent and asymptotically normal under some regularity conditions fulfilled by the model class. We conduct Monte Carlo simulations to evaluate the estimator and apply it to the analysis of a precipitation data set.
ISSN
0303-6898
URI
https://hdl.handle.net/10371/179513
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College of Natural Sciences (자연과학대학)Dept. of Statistics (통계학과)Journal Papers (저널논문_통계학과)
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