Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes

Barro Diakarya, Nitiéma S. Pierre Clovis, Diallo Moumouni

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. Specically 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.

Keywords

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

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