Title: A model for space-time threshold exceedances
Authors: Paola Bortot - University of Bologna (Italy)
Carlo Gaetan - Ca' Foscari University of Venice (Italy) [presenting]
Abstract: In the context of space-time data, the challenge is to develop models for threshold exceedances that account for both spatial and temporal dependence. We address this issue through a modelling approach that embeds spatial dependence within a time series formulation. The model allows for different forms of limiting dependence in the spatial and temporal domains as the threshold level increases. In particular, temporal asymptotic independence is assumed, as this is often supported by empirical evidence, especially in environmental applications, while both asymptotic dependence and asymptotic independence are considered for the spatial domain. Inference from the observed exceedances is carried out through a combination of pairwise likelihood and a censoring mechanism. For those model specifications for which direct maximization of the censored pairwise likelihood is unfeasible, we propose an indirect inference procedure. The approach is applied to a dataset of rainfall amounts.