Code and data for the journal article "Stochastic derivative estimation for max-stable random fields"

This publication contains the code and data allowing one to reproduce the numerical results (simulation study and application) of the paper "Stochastic derivative estimation for max-stable random fields" by E. Koch and C. Y. Robert (https://doi.org/10.1016/j.ejor.2021.12.026)

Content:

• 'Code_Section_321.R': R code to reproduce the results of Section 3.2.1 of the paper "Stochastic derivative estimation for max-stable random fields"
• 'Code_Section_322.R': R code to reproduce the results of Section 3.2.2 of the paper  "Stochastic derivative estimation for max-stable random fields". This code requires the package 'Rcpp'. In order to make 'Rccp' work on Windows, it is necessary to install Rtools 40, as explained at https://cran.r-project.org/bin/windows/Rtools/rtools40.html
• 'Code_Section_332.R': R code to reproduce the results of Section 3.3.2 of the paper "Stochastic derivative estimation for max-stable random fields".
• 'Functions_IPA_LRM.R': contains many R functions used in 'Code_Section_321.R' and 'Code_Section_322.R'
• 'Functions_Goodness_Fit.R': contains functions used in 'Code_Section_322.R'
• 'SimulationSmith.cpp': C++ code used in 'Code_Section_322.R'. It allows the simulation of the Smith random field.
• 'File_coord_RData': 176 x 2 matrix giving (in rows), the coordinates of the 176 grid points considered. The region is a rectangle from 6° to 9.75° longitude and 49.75° to 52.25° latitude, and the resolution is 0.25°. longitude and 0:25°.
• 'File_m_seas_max.RData': 42 x 176 data matrix giving, at each of the the 176 grid points, the 42 seasonal maxima (from October to March) of ERA5 hourly 10 m wind gust time series from 1 January 1979 at 08:00 CET to 1 January 2020 at 00:00 CET.  See Section 3.3.1 in the paper for more details. The coordinates of the grid point corresponding    to the j-th column are given in the j-th row of 'File_coord.RData'.
• 'Initialization.RData': Provides initial values needed for some optimizations done in 'Code_Section_332.R'; see the latter file for more details.

Note regarding the data:

• The ERA5 data were downloaded from the Copernicus Climate Data Store            (https://cds.climate.copernicus.eu/cdsapp#!/dataset/reanalysis-era5-single-levels?tab=form) on 21-23 April 2021. 
• 'File_m_seas_max.RData' contains modified Copernicus Climate Change Service information [2021].
• Neither the European Commission nor ECMWF is responsible for any use that may be made of the Copernicus information or data it contains.

R version and platform:

The results of the paper have been obtained with 
R version 4.0.5 (2021-03-31) -- "Shake and Throw"
Platform: x86_64-w64-mingw32/x64 (64-bit)