On the likelihood function of Gaussian max-stable processes Academic Article uri icon


  • We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by d at pd+1 sites, d1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from p=2 to p=3 sites in 2 by means of a Monte Carlo simulation study. 2011 Biometrika Trust.

published proceedings


author list (cited authors)

  • Genton, M. G., Ma, Y., & Sang, H.

citation count

  • 93

complete list of authors

  • Genton, Marc G||Ma, Yanyuan||Sang, Huiyan

publication date

  • June 2011