On the likelihood function of Gaussian max-stable processes

• 成果类型: Article
• 署名作者: Genton, Marc G.; Ma, Yanyuan; Sang, Huiyan
• 署名单位: Texas A&M University System; Texas A&M University College Station
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asr020
• 发表日期: 2011
• 页码: 481488
• 关键词: inference

摘要

We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by R-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-2 by means of a Monte Carlo simulation study.