Flexible space-time models for extreme data

Abstract: Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of values above suitably selected high thresholds possess the advantage of capturing the "sub-asymptotic" dependence of data. This paper presents an extension of spatial random scale mixture models to the spatio-temporal domain. A comprehensive framework for characterizing the dependence structure of extreme events across both dimensions is provided. Indeed, the model is capable of distinguishing between asymptotic dependence and independence, both in space and time, through the use of parametric inference. The high complexity of the likelihood function for the proposed model necessitates a simulation approach based on neural networks for parameter estimation, which leverages summaries of the sub-asymptotic dependence present in the data. The effectiveness of the model in assessing the limiting dependence structure of spatio-temporal processes is demonstrated through both simulation studies and an application to rainfall datasets.