Modeling non-stationary extreme dependence with stationary max-stable processes and multidimensional scaling

Chevalier, Clément; Martius, Olivia; Ginsbourger, David (2020). Modeling non-stationary extreme dependence with stationary max-stable processes and multidimensional scaling. Journal of computational and graphical statistics : JCGS, pp. 1-11. American Statistical Association 10.1080/10618600.2020.1844213

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Modeling the joint distribution of extreme events at multiple locations is a challenging task with important applications. In this study, we use max-stable models to study extreme daily precipitation events in Switzerland. The non-stationarity of the spatial process at hand involves important challenges, which are often dealt with by using a stationary model in a so-called climate space, with well-chosen covariates. Here, we instead choose to warp the weather stations under study in a latent space of higher dimension using multidimensional scaling (MDS). Two methods are proposed to define target dissimilarity matrices, based respectively on extremal coefficients and on pairwise likelihoods. Results suggest that the proposed methods allow capturing complex spatial dependences of spatial extreme precipitations, enabling in turn to reliably extrapolate functionals such as extremal coefficients.

Item Type:

Journal Article (Original Article)

Division/Institute:

10 Strategic Research Centers > Oeschger Centre for Climate Change Research (OCCR)
08 Faculty of Science > Institute of Geography
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science
08 Faculty of Science > Institute of Geography > Physical Geography > Unit Impact
08 Faculty of Science > Institute of Geography > Physical Geography

UniBE Contributor:

Chevalier, Clément; Romppainen-Martius, Olivia and Ginsbourger, David

Subjects:

500 Science > 550 Earth sciences & geology
900 History > 910 Geography & travel
300 Social sciences, sociology & anthropology > 360 Social problems & social services
500 Science > 510 Mathematics

ISSN:

1061-8600

Publisher:

American Statistical Association

Language:

English

Submitter:

Yannick Barton

Date Deposited:

19 Nov 2020 16:59

Last Modified:

13 Dec 2020 02:51

Publisher DOI:

10.1080/10618600.2020.1844213

Uncontrolled Keywords:

Extremal coefficient, Extreme value theory, Spatial extremes

BORIS DOI:

10.7892/boris.148264

URI:

https://boris.unibe.ch/id/eprint/148264

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