SUPR
Variational inference for max-stable processes/Spatial extremes based on the EP distribution
Dnr:

NAISS 2024/22-493

Type:

NAISS Small Compute

Principal Investigator:

Alexander Engberg

Affiliation:

Uppsala universitet

Start Date:

2024-04-10

End Date:

2025-05-01

Primary Classification:

10106: Probability Theory and Statistics

Webpage:

Allocation

Abstract

Max-stable process provide natural models for the modelling of spatial extreme values observed at a set of spatial sites. Full likelihood inference for max-stable data is, however, complicated by the form of the likelihood function as it contains a sum over all partitions of sites. As such, the number of terms to sum over grows rapidly with the number of sites and quickly becomes prohibitively burdensome to compute. This project investigates a variational inference approach to full likelihood inference that circumvents the problematic sum. To achieve this, we first posit a parametric family of partition distributions from which partitions can be sampled. Second, we optimise the parameters of that family in conjunction with the max-stable model. Preliminary results indicate good performance of our method compared to previous methods, but more extensive numerical experiments are needed to fully investigate the methods performance.