Title: High-order composite likelihood inference for max-stable distributions and processes
Authors: Stefano Castruccio - Newcastle University (United Kingdom) [presenting]
Abstract: In multivariate or spatial extremes, inference for max-stable processes observed at a large collection of points is a very challenging problem, and current approaches typically rely on less expensive composite likelihoods constructed from small subsets of data. We explore the limits of modern state-of-the-art computational facilities to perform full likelihood inference and to efficiently evaluate high-order composite likelihoods. With extensive simulations, we assess the loss of information of composite likelihood estimators with respect to a full likelihood approach for some widely used multivariate or spatial extreme models, we discuss how to choose composite likelihood truncation to improve the efficiency, and we also provide recommendations for practitioners.