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

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• The quantilogram: with an application to evaluating directional predictability
• Strong mixing properties of max-infinitely divisible random fields
• Towards estimating extremal serial dependence via the bootstrapped extremogram
• The extremogram: a correlogram for extreme events
• New techniques for empirical processes of dependent data
• Basic properties of strong mixing conditions. A survey and some open questions
• Regularly varying multivariate time series
• Stationary max-stable fields associated to negative definite functions
• A spectral representation for max-stable processes
• Empirical spectral processes and their applications to time series analysis
• On the central limit theorem for stationary mixing random fields
• Time series: theory and methods.
• Equivalent mixing conditions for random fields
• Mixing: Properties and examples
• Inference on the tail process with application to financial time series modeling
• Point process and partial sum convergence for weakly dependent random variables with infinite variance
• Central limit theorem for Fourier transforms of stationary processes
• Regularly varying random fields
• Semiparametric estimation for isotropic max-stable space-time processes
• On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
• The integrated periodogram of a dependent extremal event sequence
• A Fourier analysis of extreme events
• Estimation and information in stationary time series
• Asymptotic Properties of the Empirical Spatial Extremogram
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Extreme values of independent stochastic processes
• Statistical Inference for Max-Stable Processes in Space and Time
• Space–Time Modelling of Extreme Events
• Composite likelihood estimation for the Brown-Resnick process
• Statistical modeling of spatial extremes

This page was built for publication: Whittle estimation based on the extremal spectral density of a heavy-tailed random field