Carlo Gaetan

Estimating Space and Space-Time Covariance Functions for Large Data Sets: A Weighted Composite Likelihood Approach

In this article, we propose two methods for estimating space and space-time covariance functions from a Gaussian random field, based on the composite likelihood idea. The first method relies on the maximization of a weighted version of the composite likelihood function, while the second one is based on the solution of a weighted composite score equation. This last scheme is quite general and could be applied to any kind of composite likelihood. An information criterion for model selection based on the first estimation method is also introduced. The methods are useful for practitioners looking for a good balance between computational complexity and statistical efficiency. The effectiveness of the methods is illustrated through examples, simulation experiments, and by analyzing a dataset on ozone measurements.

A hierarchical model for the analysis of spatial rainfall extremes

In this article, we propose a spatial model for analyzing extreme rainfall values over the Triveneto region (Italy). We assess the existence of a long-term trend in the extremes. To integrate data coming from the different stations, we propose a hierarchical model. At the first level, for each monitoring station we model data by making use of a generalized extreme value distribution; at the second level, we combine results from the first stage by exploiting recent advances in modeling nonstationary spatial random fields.

Subset ARMA Model Identification Using Genetic Algorithms

Subset models are often useful in the analysis of stationary time series. Although subset autoregressive models have received a lot of attention, the same attention has not been given to subset autoregressive moving‐average (ARMA) models, as their identification can be computationally cumbersome. In this paper we propose to overcome this disadvantage by employing a genetic algorithm. After encoding each ARMA model as a binary string, the iterative algorithm attempts to mimic the natural evolution of the population of such strings by allowing strings to reproduce, creating new models that compete for survival in the next population. The success of the proposed procedure is illustrated by showing its efficiency in identifying the true model for simulated data. An application to real data is also considered.

Comparing composite likelihood methods based on pairs for spatial Gaussian random fields

In the last years there has been a growing interest in proposing methods for estimating covariance functions for geostatistical data. Among these, maximum likelihood estimators have nice features when we deal with a Gaussian model. However maximum likelihood becomes impractical when the number of observations is very large. In this work we review some solutions and we contrast them in terms of loss of statistical efficiency and computational burden. Specifically we focus on three types of weighted composite likelihood functions based on pairs and we compare them with the method of covariance tapering. Asymptotic properties of the three estimation methods are derived. We illustrate the effectiveness of the methods through theoretical examples, simulation experiments and by analyzing a data set on yearly total precipitation anomalies at weather stations in the United States.

Dynamic generalized linear models with application to environmental epidemiology

We propose modelling short-term pollutant exposure effects on health by using dynamic generalized linear models. The time series of count data are modelled by a Poisson distribution having mean driven by a latent Markov process; estimation is performed by the extended Kalman filter and smoother. This modelling strategy allows us to take into account possible overdispersion and time-varying effects of the covariates. These ideas are illustrated by reanalysing data on the relationship between daily non-accidental deaths and air pollution in the city of Birmingham, Alabama. Copyright 2002 Royal Statistical Society.

Estimation of spatial max-stable models using threshold exceedances

Parametric inference for spatial max-stable processes is difficult since the related likelihoods are unavailable. A composite likelihood approach based on the bivariate distribution of block maxima has been recently proposed. However modeling block maxima is a wasteful approach provided that other information is available. Moreover an approach based on block maxima, typically annual, is unable to take into account the fact that maxima occur or not simultaneously. If time series of, say, daily data are available, then estimation procedures based on exceedances of a high threshold could mitigate such problems. We focus on two approaches for composing likelihoods based on pairs of exceedances. The first one comes from the tail approximation for bivariate distribution proposed by Ledford and Tawn (Biometrika 83:169–187, 1996) when both pairs of observations exceed the fixed threshold. The second one uses the bivariate extension (Rootzén and Tajvidi in Bernoulli 12:917–930, 2006) of the generalized Pareto distribution which allows to model exceedances when at least one of the components is over the threshold. The two approaches are compared through a simulation study where both processes in a domain of attraction of a max-stable process and max-stable processes are successively considered as time replications, according to different degrees of spatial dependency. Results put forward how the nature of the time replications influences the bias of estimations and highlight the choice of each approach regarding to the strength of the spatial dependencies and the threshold choice.

Automatic identification of seasonal transfer function models by means of iterative stepwise and genetic algorithms

In this article, we introduce an automatic identification procedure for transfer function models. These models are commonplace in time-series analysis, but their identification can be complex. To tackle this problem, we propose to couple a nonlinear conditional least-squares algorithm with a genetic search over the model space. We illustrate the performances of our proposal by examples on simulated and real data. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.

A Review on Spatial Extreme Modelling

In this chapter we review recent advances in modelling spatial extremes. After a brief illustration of the extreme value theory for univariate and multivariate values, we concentrate on spatial max-stable processes. Statistical inference and simulation for these processes are subject of a close examination. Max-stable processes are also contrasted with spatial hierarchical models. The review ends with summarizing some open problems.

Nonlinear models for ground--level ozone forecasting

One of the main concerns in air pollution is excessive tropospheric ozone concentration. The aim of this work is to develop statistical models giving shortterm forecasts of future ground-level ozone concentrations. Since there are few physical insights about the dynamic relationship between ozone, precursor emissions and/or meteorological factors, a nonparametric and nonlinear approach seems promising in order to specify the forecast models. First, we apply four nonparametric procedures to forecast daily maximum 1-hour and maximum 8-hour averages of ozone concentrations in an urban area. Then, in order to improve the forecast performances, we combine the time series of the forecasts. This idea seems to give encouraging results.

Mining epidemiological time series: an approach based on dynamic regression

In epidemiology, time-series regression models are specially suitable for evaluating short-term effects of time-varying exposures to pollution. To summarize findings from different studies on different cities, the techniques of designed meta-analyses have been employed. In this context, city-specific findings are summarized by an ‘effect size’ measured on a common scale. Such effects are then pooled together on a second hierarchy of analysis. The objective of this article is to exploit exploratory analysis of city-specific time series. In fact, when dealing with many sources of data, that is, many cities, an exploratory analysis becomes almost unaffordable. Our idea is to explore the time series by fitting complete dynamic regression models. These models are easier to fit than models usually employed and allow implementation of very fast automated model selection algorithms. The idea is to highlight the common features across cities through this analysis, which might then be used to design the meta-analysis. The proposal is illustrated by analysing data on the relationship between daily nonaccidental deaths and air pollution in the 20 US largest cities.