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- Title
On the likelihood function of Gaussian max-stable processes.
- Authors
GENTON, MARC G.; YANYUAN MA; HUIYAN SANG
- 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.
- Subjects
MAXIMUM likelihood statistics; GAUSSIAN processes; MULTIVARIATE analysis; MONTE Carlo method; STATISTICS
- Publication
Biometrika, 2011, Vol 98, Issue 2, p481
- ISSN
0006-3444
- Publication type
Article
- DOI
10.1093/biomet/asr020