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On the likelihood function of Gaussian max-stable processes

We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by ℝ-super-d at p≤d+1 sites, d≥1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from p=2 to p=3 sites in ℝ-super-2 by means of a Monte Carlo simulation study. Copyright 2011, Oxford University Press.
Year of publication:
2011
Authors: Genton, Marc G. ; Ma, Yanyuan ; Sang, Huiyan
Published in:
Biometrika. - Biometrika Trust, ISSN 0006-3444. - Vol. 98.2011, 2, p. 481-488
Publisher: Biometrika Trust
Extent:
application/pdf
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10009148414
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