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Home | Events Archive | Modelling of Sparse conditional Spatial Extremes Processes Subject to Left-Censoring
Seminar

Modelling of Sparse conditional Spatial Extremes Processes Subject to Left-Censoring


  • Series
    Erasmus Econometric Institute Series
  • Speaker(s)
    Léo Belzile (HEC Montréal, Canada)
  • Field
    Econometrics
  • Date and time

    May 25, 2023
    12:00 - 13:00

The conditional spatial extremes model of Wadsworth and Tawn (2022), which focuses on extreme events given threshold exceedance at a site, has garnered a lot of attention as a flexible way to model large-scale spatio-temporal events.

We consider extensions that combine Gaussian Markov random field residual processes along with data augmentation schemes for dealing with left-censored realizations, exploiting the sparsity of the precision matrix obtained through the basis function approximation of the Gaussian process. Models are fitted using Markov chain Monte Carlo methods and we showcase the scalability of the approach using precipitation data from British Columbia. This is joint work with Rishikesh Yadav and Nicholas Beck.

You can sign up for this seminar by sending an email to eb-secr@ese.eur.nl.

Lunch will be provided (vegetarian option included).