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- W3082578412 abstract "<div> <div> <div> <p>Spatial conditional extremes via the Gibbs sampler.</p> <p>Adrian Casey, University of Edinburgh</p> <p>January 14, 2020</p> <p>Conditional extreme value theory has been successfully applied to spatial extremes problems. In this statistical method, data from observation sites are modelled as appropriate asymptotic characterisations of random vectors <strong>X,</strong> conditioned on one of their components being extreme. The method is generic and applies to a broad range of dependence structures including asymptotic dependence and asymptotic independence. However, one issue that affects the conditional extremes method is the necessity to model and fit a multi-dimensional residual distribution; this can be challenging in spatial problems with a large number of sites.</p> <p>We describe early-stage work that takes a local approach to spatial extremes; this approach explores lower dimensional structures that are based on asymptotic representations of Markov random fields. The main element of this new method is a model for the behaviour of a random component X<sub>i </sub> given that its nearest neighbours exceed a sufficiently large threshold. When combined with a model for the case where the neighbours are below this threshold, a Gibbs sampling scheme serves to induce a model for the full conditional extremes distribution by taking repeated samples from these local (univariate) distributions.</p> <p>The new method is demonstrated on a data set of significant wave heights from the North Sea basin. Markov chain Monte-Carlo diagnostics and goodness-of-fit tests illustrate the performance of the method. The potential for extrapolation into the outer reaches of the conditional extreme tails is then examined.</p> <p>Joint work with Ioannis Papastathopoulos.</p> </div> </div> </div>" @default.
- W3082578412 created "2020-09-08" @default.
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- W3082578412 date "2020-03-23" @default.
- W3082578412 modified "2023-10-15" @default.
- W3082578412 title "Spatial conditional extremes via the Gibbs sampler." @default.
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- W3082578412 doi "https://doi.org/10.5194/egusphere-egu2020-9570" @default.
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