A SEMI-PARAMETRIC ESTIMATION FOR MAX-MIXTURE SPATIAL PROCESSES

Manaf Ahmed (1) , Véronique Maume-Deschamps (2, 3) , Pierre Ribereau (2, 3) , Céline Vial (2, 3)

1 University of Mosul
2 ICJ - Institut Camille Jordan
3 PSPM - Probabilités, statistique, physique mathématique

We proposed a semi-parametric estimation procedure in order to estimate the parameters of a max-mixture model and also of a max-stable model (inverse max-stable model) as an alternative to composite likelihood. A good estimation by the proposed estimator required the dependence measure to detect all dependence structures in the model, especially when dealing with the max-mixture model. We overcame this challenge by using the F-madogram. The semi-parametric estimation was then based on a quasi least square method, by minimizing the square difference between the theoretical F-madogram and an empirical one. We evaluated the performance of this estimator through a simulation study. It was shown that on an average, the estimation is performed well, although in some cases, it encountered some difficulties. We apply our estimation procedure to model the daily rainfalls over the East Australia.

Domaines: Statistiques [math.ST]; Probabilités [math.PR]

Manaf Ahmed, Véronique Maume-Deschamps, Pierre Ribereau, Céline Vial. A SEMI-PARAMETRIC ESTIMATION FOR MAX-MIXTURE SPATIAL PROCESSES. 2017. ⟨hal-01617358v2⟩