On the likelihood function of Gaussian max-stable processes

Marc G. Genton, Yanyuan Ma, Huiyan Sang

Research output: Contribution to journalArticle

58 Citations (Scopus)

Abstract

We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by ℝd 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 ℝ2 by means of a Monte Carlo simulation study.

Original languageEnglish (US)
Pages (from-to)481-488
Number of pages8
JournalBiometrika
Volume98
Issue number2
DOIs
StatePublished - Jun 1 2011

Fingerprint

Composite Likelihood
Likelihood Functions
Stable Process
Likelihood Function
Covariance matrix
Maximum Likelihood
Closed-form
Monte Carlo Simulation
Simulation Study
Estimator
Composite materials
Demonstrate
Monte Carlo simulation

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Mathematics(all)
  • Agricultural and Biological Sciences (miscellaneous)
  • Agricultural and Biological Sciences(all)
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

Cite this

Genton, Marc G. ; Ma, Yanyuan ; Sang, Huiyan. / On the likelihood function of Gaussian max-stable processes. In: Biometrika. 2011 ; Vol. 98, No. 2. pp. 481-488.
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On the likelihood function of Gaussian max-stable processes. / Genton, Marc G.; Ma, Yanyuan; Sang, Huiyan.

In: Biometrika, Vol. 98, No. 2, 01.06.2011, p. 481-488.

Research output: Contribution to journalArticle

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