Full likelihood inference for max-stable data

Raphaël Huser, Clément Dombry, Mathieu Ribatet, Marc G. Genton

Research output: Contribution to journalArticlepeer-review

24 Scopus citations


We show how to perform full likelihood inference for max-stable multivariate distributions or processes based on a stochastic expectation–maximization algorithm, which combines statistical and computational efficiency in high dimensions. The good performance of this methodology is demonstrated by simulation based on the popular logistic and Brown–Resnick models, and it is shown to provide computational time improvements with respect to a direct computation of the likelihood. Strategies to further reduce the computational burden are also discussed.
Original languageEnglish (US)
Issue number1
StatePublished - Jan 28 2019

Bibliographical note

KAUST Repository Item: Exported on 2020-04-23
Acknowledgements: This research was supported by King Abdullah University of Science and Technology (KAUST). This research made use of the resources of the KAUST Supercomputing Laboratory.


Dive into the research topics of 'Full likelihood inference for max-stable data'. Together they form a unique fingerprint.

Cite this