Modelling pairwise dependence of maxima in space

• 成果类型: Article
• 署名作者: Naveau, Philippe; Guillou, Armelle; Cooley, Daniel; Diebolt, Jean
• 署名单位: Universite Paris Saclay; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); Universites de Strasbourg Etablissements Associes; Universite de Strasbourg; Colorado State University System; Colorado State University Fort Collins; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite Gustave-Eiffel; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asp001
• 发表日期: 2009
• 页码: 117
• 关键词: WEAK-CONVERGENCE; extreme; MULTIVARIATE

摘要

We model pairwise dependence of temporal maxima, such as annual maxima of precipitation, that have been recorded in space, either on a regular grid or at irregularly spaced locations. The construction of our estimators stems from the variogram concept. The asymptotic properties of our pairwise dependence estimators are established through properties of empirical processes. The performance of our approach is illustrated by simulations and by the treatment of a real dataset. In addition to bringing new results about the asymptotic behaviour of copula estimators, the latter being linked to first-order variograms, one main advantage of our approach is to propose a simple connection between extreme value theory and geostatistics.