Benutzer: Gast  Login
Dokumenttyp:
Zeitungsartikel 
Autor(en):
Buhl, S. and Klüppelberg, C. 
Titel:
Limit theory for the empirical extremogram of random fields 
Abstract:
Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions to ensure asymptotic normality of the empirical extremogram centred by a pre-asymptotic version. The proof relies on a CLT for exceedance variables. For max-stable processes with Fréchet margins we provide conditions such that the empirical extremogram centre...    »
 
Stichworte:
Brown–Resnick process Empirical extremogram Extremogram Max-moving average process Max-stable process Random field Spatial CLT Spatial mixing 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Stochastic Processes and their Applications 
Jahr:
2018 
Band / Volume:
128 
Jahr / Monat:
2018-06 
Quartal:
2. Quartal 
Monat:
Jun 
Heft / Issue:
Seitenangaben Beitrag:
2060-2082 
Verlag / Institution:
Elsevier 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text