hal-00761361, version 1
Spatial extreme quantile estimation using a weighted log-likelihood approach
Julie Carreau 1Stéphane Girard
a, 2
Journal de la Société Française de Statistique 152, 3 (2011) 66--83
Résumé : We propose to estimate spatial extreme quantiles by a weighted log-likelihood approach. It is assumed that the conditional distribution of the variable of interest follows a generalized extreme-value distribution. The associated response surfaces are estimated thanks to the introduction of weights in the log-likelihood. These weights depend on the distance between the point of interest and the observations. The construction of a proper distance relies on the combination of a multidimensional scaling unfolding with a neural network regression. Our approach is illustrated both on simulated and real rainfall datasets.
- a – INRIA
- 1 : Hydrosciences Montpellier (HSM)
- CNRS : UMR5569 – Institut de recherche pour le développement [IRD] – Université Montpellier II - Sciences et techniques
- 2 : MISTIS (INRIA Grenoble Rhône-Alpes / LJK Laboratoire Jean Kuntzmann)
- INRIA – Laboratoire Jean Kuntzmann
- Domaine : Mathématiques/Statistiques
Statistiques/Théorie
- hal-00761361, version 1
- http://hal.archives-ouvertes.fr/hal-00761361
- oai:hal.archives-ouvertes.fr:hal-00761361
- Contributeur : Stephane Girard
- Soumis le : Jeudi 6 Décembre 2012, 10:21:12
- Dernière modification le : Jeudi 6 Décembre 2012, 13:25:28






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