Vous êtes ici: UNIL > HEC > 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

aujourd'hui Optimal barriers in a modified surplus process
Başak Bulut Karageyik (Hacettepe University, Ankara, Turkey)
11:00-12:00, salle Extranef 125

Plus d'information
7 mars 2017 The distribution of the supremum for spectrally asymmetric Lévy processes
Zbigniew Michna (University of Wrocław, Poland)
11:00-12:00, salle Extranef 118.1

Plus d'information
4 avril 2017 Discretization error for the maximum of a Gaussian field
Jean-Marc Azaïs (Université de Toulouse, France)
14:00-15:00, salle Extranef 109

Plus d'information
5 mai 2017 Ruin probabilities in risk models with dependent and phase–type distributed claims and inter-arrivals
Mogens Bladt (National University of Mexico and University of Copenhagen, Denmark)
14:00-15:00, salle Extranef 118.1

Plus d'information
12 mai 2017 Miguel Angel Sordo Diaz (Universidad de Cadiz, Spain)
14:00-15:00, salle Extranef 118.1
>> Liste des séances précédentes
Rechercher:
 
 

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