Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models
Abu-Awwad, Abdul-Fattah ; Maume-Deschamps, Véronique ; Pierre, Ribereau
HAL, hal-01655031 / Harvested from HAL
Max-mixture processes are defined as Z = max(aX, (1 − a)Y) with X an asymptotic dependent (AD) process, Y an asymptotic independent (AI) process and a ∈ [0, 1]. So that, the mixing coefficient a may reveal the strength of the AD part present in the max-mixture process. In this paper we focus on two tests based on censored pairwise likelihood estimates. We compare their performance through an extensive simulation study. Monte Carlo simulation plays a fundamental tool for asymptotic variance calculations. We apply our tests to daily precipitations from the East of Australia. Drawbacks and possible developments are discussed.
Publié le : 2019-07-04
Classification:  Composite likelihood,  Pairwise likelihood,  Max-mixture models,  Max-stable process,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-01655031,
     author = {Abu-Awwad, Abdul-Fattah and Maume-Deschamps, V\'eronique and Pierre, Ribereau},
     title = {Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models},
     journal = {HAL},
     volume = {2019},
     number = {0},
     year = {2019},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01655031}
}
Abu-Awwad, Abdul-Fattah; Maume-Deschamps, Véronique; Pierre, Ribereau. Censored pairwise likelihood-based tests for mixing coefficient of spatial max-mixture models. HAL, Tome 2019 (2019) no. 0, . http://gdmltest.u-ga.fr/item/hal-01655031/