State-space models for maxima precipitation

zbMath1441.62568MaRDI QIDQ2197344

Philippe Naveau, Paul Poncet

Publication date: 31 August 2020

Published in: Journal de la Société Française de Statistique \& Revue de Statistique Appliquée (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item/JSFS_2007__148_1_107_0

zbMATH Keywords

Kalman filterextreme value theorygeneralized extreme value distributiondata assimilationGEV state-space modelmax-stable state-space model

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32) Meteorology and atmospheric physics (86A10)

Uses Software

• ismev

Cites Work

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• Bayesian forecasting and dynamic models.
• A skewed Kalman filter
• Modelling multivariate extreme value distributions
• Basic properties and prediction of max-ARMA processes
• On a general random exchange model
• Minimum error dispersion linear filtering of scalar symmetric stable processes
• Partial non-Gaussian state space
• An introduction to statistical modeling of extreme values

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