The MATLAB implements the stochastic gradient algorithm to learn the ensemble of trees for spatial extremes as described in the following paper:
H. Yu, W. I. T. Uy, and J. Dauwels, ''Modeling Spatial Extremes via Ensemble-of-Trees of Pairwise Copulas,'' in IEEE Trans. Signal Process.
The main script is main.m. To test your own datasets, please follow the steps below:
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Replace the artifical data "MS8x8" by your own block maxima data set when loading data and store the data in the nxp matrix XDat, where n is the no. of time series and p is the no. of locations.
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Please input the values of pc and pr, where pr and pc are respectively the no. of rows and columns of the lattice where we observe the block maxima.
Yu Hang, NTU, Jan 2017.