Published January 28, 2022 | Version v1
Software Open

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

  • 1. EPFL (Institute of Mathematics)

Contributors

Project member:

  • 1. CREST (LFA)

Description

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:

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)
 

Files

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Additional details

Related works

Is cited by
Journal article: 10.1016/j.ejor.2021.12.026 (DOI)

Funding

Swiss National Science Foundation
Risk Assessment using Complex Extremal Models 200021_178824