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

abstract

  • We derive a closed form expression for the likelihood function of a Gaussian max-stable process indexed by ℝd at p≤d+1 sites, d≥1. We demonstrate the gain in efficiency in the maximum composite likelihood estimators of the covariance matrix from p=2 to p=3 sites in ℝ2 by means of a Monte Carlo simulation study. © 2011 Biometrika Trust.

author list (cited authors)

  • Genton, M. G., Ma, Y., & Sang, H.

citation count

  • 66

publication date

  • June 2011