Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes

DOI10.1007/S10687-018-0340-XzbMATH Open1422.60030arXiv1704.05656OpenAlexW2609714171MaRDI QIDQ2311596FDOQ2311596

Authors: Sven Buhl, Claudia Klüppelberg 

Publication date: 4 July 2019

Published in: Extremes (Search for Journal in Brave)

Abstract: Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such processes we propose a two-step parameter estimation of the extremogram, when some part of the domain of interest is fixed and another increasing. We provide conditions for consistency and asymptotic normality of the empirical extremogram centred by a pre-asymptotic version for such observation schemes. For max-stable processes with Fr{'e}chet margins we provide conditions, such that the empirical extremogram (or a bias-corrected version) centred by its true version is asymptotically normal. In a second step, for a parametric extremogram model, we fit the parameters by generalised least squares estimation and prove consistency and asymptotic normality of the estimates. We propose subsampling procedures to obtain asymptotically correct confidence intervals. Finally, we apply our results to a variety of Brown-Resnick processes. A simulation study shows that the procedure works well also for moderate sample sizes.

Full work available at URL: https://arxiv.org/abs/1704.05656

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zbMATH Keywords

extremogramsemiparametric estimationBrown-Resnick processmax-stable processspace-time processobservation schemesgeneralised least squares estimationregularly varying process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from spatial processes (62M30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12) Central limit and other weak theorems (60F05)

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Cited In (5)

• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• Semiparametric estimation for isotropic max-stable space-time processes
• Space–time integrated least squares: a time-marching approach
• Estimation of Space-Time Varying Parameters Using a Diffusion LMS Algorithm
• Full likelihood inference for max-stable data

Uses Software

• RandomFields

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