Vous êtes ici: UNIL > HEC Inst. > HEC App. > DSA > Séminaires DSA > Brownbag
Français | English

Séminaires DSA

Bridging Asymptotic Independence and Dependence in Spatial Extremes Using Gaussian Scale Mixtures

Thomas Opitz (Biostatistics and Spatial Processes, INRA, Avignon, France)

28 février 2017  -  11:00-12:00, salle Extranef 109

The classical max-stable limit models for spatial extremes are well suited for asymptotically dependent data whose  strength of spatial dependence between extreme observations at different locations remains stable when moving towards more extreme levels. In contrast, the empirical exploration of the spatial extremal dependence in climatic data often suggests that convergence to the limiting dependence has not yet taken place, and the assumption of asymptotic dependence is at the least contestable. On this ground, it is preferable to propose flexible subasymptotic extremal dependence models that smoothly bridge asymptotic independence and dependence. In this context, we consider  the dependence structure induced by Gaussian scale mixture processes for modeling high threshold exceedances. After studying the extremal dependence properties of Gaussian scale mixtures, we propose a flexible yet parsimonious parametric copula model that smoothly interpolates from asymptotic dependence to independence and includes the Gaussian dependence as a special case. We show how this new model can be fitted to high threshold exceedances using a censored likelihood approach. In particular, this parametric approach borrows strength across locations for better estimation of the asymptotic dependence class. We demonstrate the capacity of our methodology by adequately capturing the extremal properties of wind speed data collected in the Pacific Northwest, US.

Liste des prochaines séances

26 octobre 2017 Means Testing Public Pensions under Population Ageing
George Kudrna (CEPAR, UNSW Sydney, Australia)
15:00-16:00, salle Extranef 125

click here [↓] to go to the attached pdf

Plus d'information
27 octobre 2017 About new approximations of the Value at Risk, Expected Shortfall and the distribution of bivariate aggregate claims
Robert Mnatsakanov (West Virginia University, Morgantown, USA)
14:00-15:00, salle Extranef 118

click here [↓] to go to the attached pdf

Plus d'information
17 novembre 2017 The value of a liability cash flow in discrete time subject to capital requirements
Filip Lindskog (Stockholm University, Sweden)
14:00-15:00, salle Internef 121

click here [↓] to go to the attached pdf

Plus d'information
16 janvier 2018 Georgiy Shevchenko (Taras Shevchenko National University of Kyiv, Ukraine)
14:00-15:00, salle Extranef 109

click here [↓] to go to the attached pdf
16 janvier 2018 Yuliya Mishura (Taras Shevchenko National University of Kyiv, Ukraine)
15:00-16:00, salle Extranef 109

click here [↓] to go to the attached pdf
>> Liste des séances précédentes

Ajouter au calendrier

Affichez toutes les sessions dans votre calendrier! Ajoutez notre ICS webcal à votre agenda.

  Ajouter à mon agenda


Internef - CH-1015 Lausanne - Suisse - Tél. (+41) 21 692.33.82 - Fax (+41) 21 692.34.35