Vecchia Likelihood Approximation for Accurate and Fast Inference with Intractable Spatial Max-Stable Models

Raphaël Huser*, Michael L. Stein, Peng Zhong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Max-stable processes are the most popular models for high-impact spatial extreme events, as they arise as the only possible limits of spatially-indexed block maxima. However, likelihood inference for such models suffers severely from the curse of dimensionality, since the likelihood function involves a combinatorially exploding number of terms. In this article, we propose using the Vecchia approximation, which conveniently decomposes the full joint density into a linear number of low-dimensional conditional density terms based on well-chosen conditioning sets designed to improve and accelerate inference in high dimensions. Theoretical asymptotic relative efficiencies in the Gaussian setting and simulation experiments in the max-stable setting show significant efficiency gains and computational savings using the Vecchia likelihood approximation method compared to traditional composite likelihoods. Our application to extreme sea surface temperature data at more than a thousand sites across the entire Red Sea further demonstrates the superiority of the Vecchia likelihood approximation for fitting complex models with intractable likelihoods, delivering significantly better results than traditional composite likelihoods, and accurately capturing the extremal dependence structure at lower computational cost. Supplementary materials for this article are available online.

Original languageEnglish (US)
JournalJOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
DOIs
StateAccepted/In press - 2023

Bibliographical note

Publisher Copyright:
© 2023 The Author(s). Published with license by Taylor & Francis Group, LLC.

Keywords

  • Asymptotic relative efficiency
  • Composite likelihood
  • Gaussian process
  • Max-stable process
  • Vecchia approximation

ASJC Scopus subject areas

  • Statistics and Probability
  • Discrete Mathematics and Combinatorics
  • Statistics, Probability and Uncertainty

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