Sign in
Composite likelihood estimation for the Brown-Resnick process
Journal article   Peer reviewed

Composite likelihood estimation for the Brown-Resnick process

R. Huser and A. C. Davison
Biometrika, Vol.100(2), pp.511-518
01/06/2013

Abstract

Biology Life Sciences & Biomedicine Life Sciences & Biomedicine - Other Topics Mathematical & Computational Biology Mathematics Physical Sciences Science & Technology Statistics & Probability
Genton et al. (2011) investigated the gain in efficiency when triplewise, rather than pairwise, likelihood is used to fit the popular Smith max-stable model for spatial extremes. We generalize their results to the Brown-Resnick model and show that the efficiency gain is substantial only for very smooth processes, which are generally unrealistic in applications.

Metrics

1 Record Views

Details