Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes

Authors

  • Barro Diakarya Université Ouaga 2
  • Nitiéma S. Pierre Clovis Université Ouaga 2
  • Diallo Moumouni Université des SSG de Bamako,

Keywords:

Max-stable process, Spatio-temporal process, extreme values, Copulas, Generalized Pareto distributions

Abstract

Max-stability is the foundation of multivariate extreme values analysis. This paper investigates a asymptotic dependence modeling of max-stable processes both with spatial and temporal variables. SpeciÂ…cally the paper provides new characterizations of extremal distributions via a dependence measure of the stochastic joint behavior at given locality s and date t. The analytical forms of spatio-temporal asymptotic dependence structures are provided for the main bivariate and trivariate models of max-stable
processes.

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How to Cite

Diakarya, B., S. Pierre Clovis, N., & Moumouni, D. (2017). Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes. European Journal of Pure and Applied Mathematics, 10(5), 1035–1049. Retrieved from https://www.ejpam.com/index.php/ejpam/article/view/3109