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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Buhl, S. and Klüppelberg, C. 
Titel:
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes 
Abstract:
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such processes we propose a two-step parameter estimation of the extremogram, when some part of the domain of interest is fixed and another increasing. We provide conditions for consistency and asymptotic normality of the empirical extremogram centred by a pre-asymptotic version for such observation schemes. For max-stable processes with Fréchet margins we provi...    »
 
Stichworte:
Brown-Resnick process; extremogram; generalised least squares estimation; maxstable process; observations schemes; regularly varying process; semiparametric estimation; spacetime process. 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Preprint 
Jahr:
2017 
Sprache:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text