Prediction of stationary max-stable processes
From MaRDI portal
Publication:687706
DOI10.1214/aoap/1177005435zbMath0779.60048MaRDI QIDQ687706
Richard A. Davis, Sidney I. Resnick
Publication date: 28 October 1993
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177005435
prediction; extreme value; stationary max-stable processes; max-moving averages; max-permutation processes; max-stable spaces
60G70: Extreme value theory; extremal stochastic processes
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
Related Items
The behavior of multivariate maxima of moving maxima processes, On approximating max-stable processes and constructing extremal copula functions, The pairwise beta distribution: A flexible parametric multivariate model for extremes, Regularly varying multivariate time series, The estimation of M4 processes with geometric moving patterns, Moving-maximum models for extrema of time series, Sparse moving maxima models for tail dependence in multivariate financial time series, Approximating the conditional density given large observed values via a multivariate extremes framework, with application to environmental data, On the estimation and application of max-stable processes, On the association of sum- and max-stable processes, Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes, Statistical analysis of first-order MARMA processes, Conditional sampling for spectrally discrete max-stable random fields, On the structure and representations of max-stable processes, The Extremal Dependence Measure and Asymptotic Independence
