MODELLING OF SPATIAL EXTREME VALUES WITH RANDOM FIELD AND COPULA FUNCTION

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MAHMOUDIAN BEHZAD; MOHAMMADZADEH DARRODI MOHSEN

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Paper Information

Journal: JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY) Year:2014 | Volume:14 | Issue:2 Page(s): 127-140

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Title

MODELLING OF SPATIAL EXTREME VALUES WITH RANDOM FIELD AND COPULA FUNCTION

Author(s)

MAHMOUDIAN BEHZAD | MOHAMMADZADEH DARRODI MOHSEN | Issue Writer Certificate

Keywords

EXTREME VALUESQ2

GENERALIZED EXTREME VALUE DISTRIBUTIONQ2

COPULA FUNCTIONQ2

RANDOM FIELDQ2

ADAPTIVE INDEPENDENCE SAMPLERQ2

RANDOM WALK METROPOLISQ2

HASTINGS ALGORITHMQ2

Abstract

In this article a spatial model is presented for EXTREME VALUES with marginal generalized extreme value (GEV) distribution. The spatial model would be able to capture the multi-scale spatial dependencies. The small scale dependencies in this model is modeled by means of COPULA FUNCTION and then in a hierarchical manner a RANDOM FIELD is related to location parameters of marginal GEV distributions in order to account for large scale dependencies. Bayesian inference of presented model is accomplished by offered Markov chain Monte Carlo (MCMC) design, which consisted of Gibbs sampler, RANDOM WALK METROPOLIS-Hastings and ADAPTIVE INDEPENDENCE SAMPLER algorithms. In proposed MCMC design the vector of location parameters is updated simultaneously based on devised multivariate proposal distribution. Also, we attain Bayesian spatial prediction by approximation of the predictive distribution. Finally, the estimation of model parameters and possibilities for capturing and separation of multi-scale spatial dependencies are investigated in a simulation example and analysis of wind speed extremes.

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APA: Copy

MAHMOUDIAN, BEHZAD, & MOHAMMADZADEH DARRODI, MOHSEN. (2014). MODELLING OF SPATIAL EXTREME VALUES WITH RANDOM FIELD AND COPULA FUNCTION. JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY), 14(2), 127-140. SID. https://sid.ir/paper/43992/en

Vancouver: Copy

MAHMOUDIAN BEHZAD, MOHAMMADZADEH DARRODI MOHSEN. MODELLING OF SPATIAL EXTREME VALUES WITH RANDOM FIELD AND COPULA FUNCTION. JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY)[Internet]. 2014;14(2):127-140. Available from: https://sid.ir/paper/43992/en

IEEE: Copy

BEHZAD MAHMOUDIAN, and MOHSEN MOHAMMADZADEH DARRODI, “MODELLING OF SPATIAL EXTREME VALUES WITH RANDOM FIELD AND COPULA FUNCTION,” JOURNAL OF SCIENCE (KHARAZMI UNIVERSITY), vol. 14, no. 2, pp. 127–140, 2014, [Online]. Available: https://sid.ir/paper/43992/en

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