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Séminaire Mathématiques pour l’entreprise : A journey along the sample path of a max-stable process

Vendredi 26 janvier 13:10-14:00 - Mathieu Ribatet - Université de Montpellier

Séminaire Mathématiques pour l’entreprise : A journey along the sample path of a max-stable process

Résumé : Max-stable processes play a major role in the areal modeling of spatial extremes, and more precisely pointwise maxima. This talk will cover some probabilistic as well as statistical aspects related to these processes. More precisely, we will review some (more or less) recent results about the hidden structure of max-stable processes through the notion of spectral characterization, extremal and sub-extremal functions as well as the hitting scenario. We will then see how one can achieve conditional simulations from max-stable processes using this hidden structure. Next a novel (spatial) dependence summary measure for spatial extremes, namely the extremal concurrence probability, will be introduced and the strongly connected notion of extremal concurrence cell. Finally, if we have enough time, we will see how full likelihood inference for max-stable processes is actually possible—though highly CPU demanding.

Lieu : Salle René Baire

Pour en savoir plus sur cet événement, consultez l'article Séminaire Mathématiques pour l’entreprise