Whittle estimation based on the extremal spectral density of a heavy-tailed random field

DOI10.1016/J.SPA.2022.10.004zbMath1504.60083arXiv2211.03260OpenAlexW4306386456MaRDI QIDQ2105071

Jacek Zienkiewicz, Thomas Mikosch, Yuwei Zhao, Ewa Damek

Publication date: 8 December 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.03260

zbMATH Keywords

spectral analysisextreme value theoryWhittle estimationmax-moving averagesBrown-Resnick random field

Mathematics Subject Classification ID

Random fields (60G60) Random fields; image analysis (62M40) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Uses Software

• quantilogram

Cites Work

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