Higher-dimensional spatial extremes via single-site conditioning

Wadsworth, Jennifer and Tawn, Jonathan (2022) Higher-dimensional spatial extremes via single-site conditioning. Spatial Statistics, 51. ISSN 2211-6753

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Currently available models for spatial extremes suffer either from inflexibility in the dependence structures that they can capture, lack of scalability to high dimensions, or in most cases, both of these. We present an approach to spatial extreme value theory based on the conditional multivariate extreme value model, whereby the limit theory is formed through conditioning upon the value at a particular site being extreme. The ensuing methodology allows for a flexible class of dependence structures, as well as models that can be fitted in high dimensions. To overcome issues of conditioning on a single site, we suggest a joint inference scheme based on all observation locations, and implement an importance sampling algorithm to provide spatial realizations and estimates of quantities conditioning upon the process being extreme at any of one of an arbitrary set of locations. The modelling approach is applied to Australian summer temperature extremes, permitting assessment of the spatial extent of high temperature events over the continent.

Item Type:
Journal Article
Journal or Publication Title:
Spatial Statistics
Additional Information:
This is the author’s version of a work that was accepted for publication in Spatial Statistics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Spatial Statistics, 51, 100677, 2022 DOI: 10.1016/j.spasta.2022.100677
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15 Jun 2022 11:00
Last Modified:
22 Nov 2022 11:33