Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes

Authors

  • Barro Diakarya Université Ouaga 2
  • Nitiéma S. Pierre Clovis Université Ouaga 2
  • Diallo Moumouni Université des SSG de Bamako,

Keywords:

Max-stable process, Spatio-temporal process, extreme values, Copulas, Generalized Pareto distributions

Abstract

Max-stability is the foundation of multivariate extreme values analysis. This paper investigates a asymptotic dependence modeling of max-stable processes both with spatial and temporal variables. SpeciÂ…cally the paper provides new characterizations of extremal distributions via a dependence measure of the stochastic joint behavior at given locality s and date t. The analytical forms of spatio-temporal asymptotic dependence structures are provided for the main bivariate and trivariate models of max-stable
processes.

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Published

2017-11-02

Issue

Vol. 10 No. 5: (October 2017)

Section

Mathematical Statistics

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How to Cite

Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes. (2017). European Journal of Pure and Applied Mathematics, 10(5), 1035-1049. https://www.ejpam.com/index.php/ejpam/article/view/3109