Continuous mixtures of Gaussian processes as models for spatial extremes

TL;DR

This paper introduces flexible Gaussian location-scale mixture models for spatial extremes, enabling better modeling of tail and bulk data, with efficient inference methods demonstrated on wildfire weather data.

Contribution

It develops novel Gaussian mixture constructions, a general simulation algorithm, and new likelihood inference methods for spatial extreme value modeling.

Findings

Models effectively capture tail and bulk data characteristics.

Inference methods reduce computational costs.

Application to wildfire weather data demonstrates practical utility.

Abstract

Spatial modelling of extreme values allows studying the risk of joint occurrence of extreme events at different locations and is of significant interest in climatic and other environmental sciences. A popular class of dependence models for spatial extremes is that of random location-scale mixtures, in which a spatial "baseline" process is multiplied or shifted by a random variable, potentially altering its extremal dependence behaviour. Gaussian location-scale mixtures retain benefits of their Gaussian baseline processes while overcoming some of their limitations, such as symmetry, light tails and weak tail dependence. We review properties of Gaussian location-scale mixtures and develop novel constructions with interesting features, together with a general algorithm for conditional simulation from these models. We leverage their flexibility to propose extended extreme-value models, that allow for appropriately modelling not only the tails but also the bulk of the data. This is important in many applications and avoids the need to explicitly select the events considered as extreme. We propose new solutions for likelihood inference in parametric models of Gaussian location-scale mixtures, in order to avoid the numerical bottleneck given by the latent location and scale variables that can lead to high computational cost of standard likelihood evaluations. The effectiveness of the models and of the inference methods is confirmed with simulated data examples, and we present an application to wildfire-related weather variables in Portugal. Although not detailed here, the approaches would also be straightforward to use for modelling multivariate (non spatial) data.