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

DOI10.1016/J.SPA.2022.10.004MaRDI QIDQ2105071zbMATH OpenOpenAlexFDO

Authors Ewa Damek, T. Mikosch, Yuwei Zhao, J. Zienkiewicz

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

extreme value theoryspectral analysisWhittle estimationmax-moving averagesBrown-Resnick random field

Mathematics Subject Classification ID

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

Abstract: We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into account only the largest values in the random field. This extremogram is a spatial autocovariance function. We define the corresponding extremal spectral density and its estimator, the extremal periodogram. Based on the extremal periodogram, we consider the Whittle estimator for suitable classes of parametric random fields including the Brown-Resnick random field and regularly varying max-moving averages.

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• Regularly varying random fields

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• quantilogram

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