B1224
Title: The SPDE approach for spatial extremes
Authors: David Bolin - King Abdullah University of Science and Technology (KAUST) (Saudi Arabia)
Peter Braunsteins - University of New South Wales (Australia) [presenting]
Sebastian Engelke - University of Geneva (Switzerland)
Raphael Huser - King Abdullah University of Science and Technology (Saudi Arabia)
Abstract: When evaluated at a finite number of locations, existing models for spatial extremes do not exhibit any sparsity properties, such as extremal conditional independence patterns. The resulting likelihood functions do not factorize, limiting inference to a moderate number of dimensions. The goal is to develop a flexible class of models for spatial extremes whose finite-dimensional distributions can be closely approximated by Husler-Reiss models with a sparse extremal conditional dependence structure. Previous work's stochastic partial differential equation (SPDE) approach is adapted to the setting of extremes.
