Space‒time max-stable models with spectral separability

Abstract

AbstractNatural disasters may have considerable impact on society as well as on the (re-)insurance industry. Max-stable processes are ideally suited for the modelling of the spatial extent of such extreme events, but it is often assumed that there is no temporal dependence. Only a few papers have introduced spatiotemporal max-stable models, extending the Smith, Schlather and Brown‒Resnick spatial processes. These models suffer from two major drawbacks: time plays a similar role to space and the temporal dynamics are not explicit. In order to overcome these defects, we introduce spatiotemporal max-stable models where we partly decouple the influence of time and space in their spectral representations. We introduce both continuous- and discrete-time versions. We then consider particular Markovian cases with a max-autoregressive representation and discuss their properties. Finally, we briefly propose an inference methodology which is tested through a simulation study.