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Journal Articles Spatial Statistics Year : 2022

A flexible Bayesian hierarchical modeling framework for spatially dependent peaks-over-threshold data

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Abstract

In this work, we develop a constructive modeling framework for extreme threshold exceedances in repeated observations of spatial fields, based on general product mixtures of random fields possessing light or heavy-tailed margins and various spatial dependence characteristics, which are suitably designed to provide high flexibility in the tail and at sub-asymptotic levels. Our proposed model is akin to a recently proposed Gamma- Gamma model using a ratio of processes with Gamma marginal distributions, but it possesses a higher degree of flexibility in its joint tail structure, capturing strong dependence more easily. We focus on constructions with the following three product factors, whose different roles ensure their statistical identifiability: a heavy-tailed spatially-dependent field, a lighter-tailed spatiallyconstant field, and another lighter-tailed spatially-independent field. Thanks to the model's hierarchical formulation, inference may be conveniently performed based on Markov chain Monte Carlo methods. We leverage the Metropolis adjusted Langevin algorithm (MALA) with random block proposals for latent variables, as well as the stochastic gradient Langevin dynamics (SGLD) algorithm for hyperparameters, in order to fit our proposed model very efficiently in relatively high spatio-temporal dimensions, while simultaneously censoring non-exceedances of the threshold and performing spatial prediction at multiple sites. The censoring mechanism is applied to the spatially independent

Dates and versions

hal-03851929 , version 1 (14-11-2022)

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Cite

Rishikesh Yadav, Raphaël Huser, Thomas Opitz. A flexible Bayesian hierarchical modeling framework for spatially dependent peaks-over-threshold data. Spatial Statistics, 2022, 51, pp.100672. ⟨10.1016/j.spasta.2022.100672⟩. ⟨hal-03851929⟩

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