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Space‒time max-stable models with spectral separability

  • Paul Embrechts (a1), Erwan Koch (a1) and Christian Robert (a2)

Abstract

Natural disasters may have considerable impact on society as well as on the (re-)insurance industry. Max-stable processes are ideally suited for the modelling of the spatial extent of such extreme events, but it is often assumed that there is no temporal dependence. Only a few papers have introduced spatiotemporal max-stable models, extending the Smith, Schlather and Brown‒Resnick spatial processes. These models suffer from two major drawbacks: time plays a similar role to space and the temporal dynamics are not explicit. In order to overcome these defects, we introduce spatiotemporal max-stable models where we partly decouple the influence of time and space in their spectral representations. We introduce both continuous- and discrete-time versions. We then consider particular Markovian cases with a max-autoregressive representation and discuss their properties. Finally, we briefly propose an inference methodology which is tested through a simulation study.

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Corresponding author

Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland. Email address: paul.embrechts@math.ethz.ch
Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland. Email address: erwan.koch@math.ethz.ch
ISFA, Université Lyon 1, 50 Avenue Tony Garnier, 69366 Lyon Cedex 07, France. Email address: christian.robert@univ-lyon1.fr

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Keywords

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Space‒time max-stable models with spectral separability

  • Paul Embrechts (a1), Erwan Koch (a1) and Christian Robert (a2)

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