Truncated pair-wise likelihood for the Brown-Resnick process with applications to maximum temperature data

Abstract

Max-stable processes are a natural extension of multivariate extreme value theory important for modeling the spatial dependence of environmental extremes. Inference for max-stable processes observed at several spatial locations is challenging due to the intractability of the full likelihood function. Composite likelihood methods avoid these difficulties by combining a number of low-dimensional likelihood objects, typically defined on pairs or triplets of spatial locations. This work develops a new truncation procedure based on ℓ1-penalty to reduce the complexity and computational cost associated with the composite likelihood function. The new method is shown to achieve a favorable trade-off between computational burden and statistical efficiency by dropping a number of noisy sub-likelihoods. The properties of the new method are illustrated through numerical simulations and an application to real extreme temperature data.