On the estimation and application of max-stable processes

DOI10.1016/j.jspi.2009.10.014zbMath1181.62150OpenAlexW2024745425MaRDI QIDQ2266884

Zhengjun Zhang, Richard L. Smith

Publication date: 26 February 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.10.014

zbMATH Keywords

estimationmultivariate extremesextreme value distributionempirical distributionextreme co-movementextreme dependencemultivariate maxima of moving maxima

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Statistics of extreme values; tail inference (62G32)

Related Items (21)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang ⋮ Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ New extreme value theory for maxima of maxima ⋮ An extended sparse max-linear moving model with application to high-frequency financial data ⋮ Copula structured M4 processes with application to high-frequency financial data ⋮ A peak-over-threshold search method for global optimization ⋮ Estimating the extremal index through local dependence ⋮ Efficient estimation and particle filter for max-stable processes ⋮ Generalized madogram and pairwise dependence of maxima over two regions of a random field ⋮ Sparse moving maxima models for tail dependence in multivariate financial time series ⋮ Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation ⋮ Maxima of moving maxima of continuous functions ⋮ Models for autoregressive processes of bounded counts: how different are they? ⋮ Mark to market value at risk ⋮ A hierarchical max-stable spatial model for extreme precipitation ⋮ Extremal properties of M4 processes ⋮ A Spatial Markov Model for Climate Extremes ⋮ Exceedance probability of the integral of a stochastic process ⋮ Long range dependence for stable random processes ⋮ Statistical methods for assessing the contagion of spatial extreme events among regions

Uses Software

• ismev

Cites Work

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