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Article Dans Une Revue Extremes Année : 2010

Testing the independence of maxima: from bivariate vectors to spatial extreme fields

Résumé

Characterizing the behaviour of multivariate or spatial extreme values is of fundamental interest to understand how extreme events tend to occur. In this paper we propose to test for the asymptotic independence of bivariate maxima vectors. Our test statistic is derived from a madogram, a notion classically used in geostatistics to capture spatial structures. The test can be applied to bivariate vectors, and a generalization to the spatial context is proposed. For bivariate vectors, a comparison to the test by Falk and Michel (2006) is conducted through a simulation study. In the spatial case, special attention is paid to pairwise dependence. A multiple test procedure is designed to determine at which lag asymptotic independence takes place. This new procedure is based on the bootstrap distribution of the number of times the null hypothesis is rejected. It is then tested on maxima of three classical spatial models and finally applied to two climate datasets.
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Dates et versions

hal-00371398 , version 1 (27-03-2009)

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Jean-Noel Bacro, Liliane Bel, Christian Lantuéjoul. Testing the independence of maxima: from bivariate vectors to spatial extreme fields. Extremes, 2010, 13 (2), pp.155-175. ⟨10.1007/s10687-010-0104-8⟩. ⟨hal-00371398⟩
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