Semiparametric estimation for isotropic max-stable space-time processes

DOI10.3150/18-BEJ1061zbMath1434.62183arXiv1609.04967MaRDI QIDQ2325332

Richard A. Davis, Christina Steinkohl, Sven Buhl, Claudia Klüppelberg

Publication date: 25 September 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04967

zbMATH Keywords

extremogramregular variationmixingsemiparametric estimationsubsamplingBrown-Resnick processmax-stable processtail dependenceisotropic processspacetime process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stable stochastic processes (60G52)

Related Items (6)

Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool ⋮ Ordinal patterns in clusters of subsequent extremes of regularly varying time series ⋮ Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach ⋮ Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes ⋮ Semiparametric estimation for isotropic max-stable space-time processes ⋮ Whittle estimation based on the extremal spectral density of a heavy-tailed random field

Uses Software

• RandomFields

Cites Work

• Efficient inference and simulation for elliptical Pareto processes
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• Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
• Exact simulation of max-stable processes
• Efficient inference for spatial extreme value processes associated to log-Gaussian random functions
• Heavy-Tail Phenomena

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