High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields

Simpson, Emma and Opitz, Thomas and Wadsworth, Jennifer (2023) High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields. Extremes, 26. 669–713. ISSN 1386-1999

[thumbnail of SimpsonOpitzWadsworth2023 - accepted]
Text (SimpsonOpitzWadsworth2023 - accepted)
SimpsonOpitzWadsworth2023_accepted.pdf - Accepted Version
Available under License Creative Commons Attribution.

Download (4MB)

Abstract

The conditional extremes framework allows for event-based stochastic modeling of dependent extremes, and has recently been extended to spatial and spatio-temporal settings. After standardizing the marginal distributions and applying an appropriate linear normalization, certain non-stationary Gaussian processes can be used as asymptotically-motivated models for the process conditioned on threshold exceedances at a fixed reference location and time. In this work, we adapt existing conditional extremes models to allow for the handling of large spatial datasets. This involves specifying the model for spatial observations at d locations in terms of a latent m≪d dimensional Gaussian model, whose structure is specified by a Gaussian Markov random field. We perform Bayesian inference for such models for datasets containing thousands of observation locations using the integrated nested Laplace approximation, or INLA. We explain how constraints on the spatial and spatio-temporal Gaussian processes, arising from the conditioning mechanism, can be implemented through the latent variable approach without losing the computationally convenient Markov property. We discuss tools for the comparison of models via their posterior distributions, and illustrate the flexibility of the approach with gridded Red Sea surface temperature data at over 6,000 observed locations. Posterior sampling is exploited to study the probability distribution of cluster functionals of spatial and spatio-temporal extreme episodes.

Item Type:
Journal Article
Journal or Publication Title:
Extremes
Uncontrolled Keywords:
Research Output Funding/yes_externally_funded
Subjects:
?? extremal dependenceconditional extremes modellatent gaussian modelspatial extremesthreshold exceedancesyes - externally fundedengineering (miscellaneous)economics, econometrics and finance (miscellaneous)statistics and probability ??
ID Code:
189911
Deposited By:
Deposited On:
30 Mar 2023 12:15
Refereed?:
Yes
Published?:
Published
Last Modified:
29 Jun 2024 00:36