Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes

DOI10.1111/rssb.12074zbMath1414.60038arXiv1207.6886OpenAlexW1978489110MaRDI QIDQ5379908

Martin Schlather, Sebastian Engelke, Zakhar Kabluchko, Alexander Malinowski

Publication date: 14 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.6886

zbMATH Keywords

extreme value theoryspectral densityPoisson point processmax-stable processpeaks-over-threshold method

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (35)

Higher-order expansions of distributions of maxima in a Hüsler-Reiss model ⋮ The realization problem for tail correlation functions ⋮ Non-stationary dependence structures for spatial extremes ⋮ Modeling Nonstationary Extreme Dependence With Stationary Max-Stable Processes and Multidimensional Scaling ⋮ Anisotropic Brown-Resnick space-time processes: estimation and model assessment ⋮ Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts ⋮ A Space-Time Skew-t Model for Threshold Exceedances ⋮ Total positivity in multivariate extremes ⋮ Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions ⋮ The extremes of dependent chi-processes attracted by the Brown-Resnick process ⋮ Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes ⋮ CRPS M-estimation for max-stable models ⋮ Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables ⋮ Max-stable processes and stationary systems of Lévy particles ⋮ Geostatistics of dependent and asymptotically independent extremes ⋮ Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes ⋮ Exploration and inference in spatial extremes using empirical basis functions ⋮ Extremal attractors of Liouville copulas ⋮ Equivalent representations of max-stable processes via ℓ^p-norms ⋮ Editorial: EVA 2019 data competition on spatio-temporal prediction of Red Sea surface temperature extremes ⋮ Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process ⋮ ABC model selection for spatial extremes models applied to south Australian maximum temperature data ⋮ Conditioned limit laws for inverted max-stable processes ⋮ Efficient simulation of Brown‒Resnick processes based on variance reduction of Gaussian processes ⋮ Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes ⋮ Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes ⋮ Modeling Spatial Processes with Unknown Extremal Dependence Class ⋮ Testing for changes in the tail behavior of Brown-Resnick Pareto processes ⋮ A comparative tour through the simulation algorithms for max-stable processes ⋮ Semiparametric estimation for isotropic max-stable space-time processes ⋮ Probabilities of Concurrent Extremes ⋮ Modeling spatial tail dependence with Cauchy convolution processes ⋮ Tail correlation functions of max-stable processes ⋮ A flexible dependence model for spatial extremes ⋮ A characterization of the normal distribution using stationary max-stable processes

This page was built for publication: Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes