论文标题
使用inla和高斯马尔可夫随机场对空间和时空条件极端的高维建模
High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields
论文作者
论文摘要
条件极端框架允许基于事件的随机建模对依赖性极端建模,并且最近已扩展到时空和时空设置。在标准化边缘分布并应用适当的线性归一化之后,某些非平稳的高斯过程可以用作渐近动机的模型,用于在固定的参考位置和时间下以阈值超过阈值的条件。在这项工作中,我们调整了现有的有条件极端模型,以允许处理大型空间数据集。这涉及根据潜在的$ M \ ll d $ dimensional高斯模型指定$ d $位置的空间观测模型,该模型由高斯马尔可夫随机字段指定。我们对使用集成的嵌套拉普拉斯近似或INLA进行了数千个观察位置的数据集进行此类模型的贝叶斯推断。我们解释了如何通过潜在变量方法实施的,而不会丢失计算方便的马尔可夫属性,从而可以通过调节机制实现对空间和时空的高斯过程的约束。我们讨论了通过其后分布比较模型的工具,并用网格的红色海面温度数据以超过6,000美元的观察到的位置说明了该方法的灵活性。利用后验采样来研究空间和时空极端发作的簇功能的概率分布。
The conditional extremes framework allows for event-based stochastic modeling of dependent extremes, and has recently been extended to spatial and spatio-temporal settings. After standardizing the marginal distributions and applying an appropriate linear normalization, certain non-stationary Gaussian processes can be used as asymptotically-motivated models for the process conditioned on threshold exceedances at a fixed reference location and time. In this work, we adapt existing conditional extremes models to allow for the handling of large spatial datasets. This involves specifying the model for spatial observations at $d$ locations in terms of a latent $m\ll d$ dimensional Gaussian model, whose structure is specified by a Gaussian Markov random field. We perform Bayesian inference for such models for datasets containing thousands of observation locations using the integrated nested Laplace approximation, or INLA. We explain how constraints on the spatial and spatio-temporal Gaussian processes, arising from the conditioning mechanism, can be implemented through the latent variable approach without losing the computationally convenient Markov property. We discuss tools for the comparison of models via their posterior distributions, and illustrate the flexibility of the approach with gridded Red Sea surface temperature data at over $6,000$ observed locations. Posterior sampling is exploited to study the probability distribution of cluster functionals of spatial and spatio-temporal extreme episodes.