Modeling spatial tail dependence with Cauchy convolution processes

TL;DR

This paper introduces a new class of spatial dependence models based on Cauchy convolution processes, capable of capturing complex tail dependence structures and flexible joint modeling of bulk and tail behaviors in spatial data.

Contribution

It develops a novel framework combining Cauchy convolution and Gaussian processes for flexible spatial dependence modeling, including inference methods and practical application.

Findings

Models exhibit tail dependence at short distances and independence at long distances.

The proposed inference method provides accurate parameter estimates.

Application to temperature data shows excellent fit and tail dependence capture.

Abstract

We study the class of dependence models for spatial data obtained from Cauchy convolution processes based on different types of kernel functions. We show that the resulting spatial processes have appealing tail dependence properties, such as tail dependence at short distances and independence at long distances with suitable kernel functions. We derive the extreme-value limits of these processes, study their smoothness properties, and detail some interesting special cases. To get higher flexibility at sub-asymptotic levels and separately control the bulk and the tail dependence properties, we further propose spatial models constructed by mixing a Cauchy convolution process with a Gaussian process. We demonstrate that this framework indeed provides a rich class of models for the joint modeling of the bulk and the tail behaviors. Our proposed inference approach relies on matching model-based and empirical summary statistics, and an extensive simulation study shows that it yields accurate estimates. We demonstrate our new methodology by application to a temperature dataset measured at 97 monitoring stations in the state of Oklahoma, US. Our results indicate that our proposed model provides a very good fit to the data, and that it captures both the bulk and the tail dependence structures accurately.