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- W4221167326 abstract "Max-stable processes are the most popular models for high-impact spatial extreme events, as they arise as the only possible limits of spatially-indexed block maxima. However, likelihood inference for such models suffers severely from the curse of dimensionality, since the likelihood function involves a combinatorially exploding number of terms. In this paper, we propose using the Vecchia approximation, which conveniently decomposes the full joint density into a linear number of low-dimensional conditional density terms based on well-chosen conditioning sets designed to improve and accelerate inference in high dimensions. Theoretical asymptotic relative efficiencies in the Gaussian setting and simulation experiments in the max-stable setting show significant efficiency gains and computational savings using the Vecchia likelihood approximation method compared to traditional composite likelihoods. Our application to extreme sea surface temperature data at more than a thousand sites across the entire Red Sea further demonstrates the superiority of the Vecchia likelihood approximation for fitting complex models with intractable likelihoods, delivering significantly better results than traditional composite likelihoods, and accurately capturing the extremal dependence structure at lower computational cost." @default.
- W4221167326 created "2022-04-03" @default.
- W4221167326 creator A5048936466 @default.
- W4221167326 creator A5059740534 @default.
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- W4221167326 date "2022-03-10" @default.
- W4221167326 modified "2023-09-27" @default.
- W4221167326 title "Vecchia Likelihood Approximation for Accurate and Fast Inference in Intractable Spatial Extremes Models" @default.
- W4221167326 doi "https://doi.org/10.48550/arxiv.2203.05626" @default.
- W4221167326 hasPublicationYear "2022" @default.
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