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Document type:
Zeitungsartikel 
Author(s):
Buhl, S. and Klüppelberg, C. 
Title:
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...    »
 
Keywords:
Brown–Resnick process Empirical extremogram Extremogram Max-moving average process Max-stable process Random field Spatial CLT Spatial mixing 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Stochastic Processes and their Applications 
Year:
2018 
Journal volume:
128 
Year / month:
2018-06 
Quarter:
2. Quartal 
Month:
Jun 
Journal issue:
Pages contribution:
2060-2082 
Publisher:
Elsevier 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text