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Titel:

Anisotropic Brown-Resnick space-time processes: estimation and model assessment

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Buhl, S. and Klüppelberg, C.
Abstract:
Spatially isotropic max-stable processes have been used to model extreme spatial or space-time observations. One prominent model is the Brown-Resnick process, which has been successfully fitted to time series, spatial data and space-time data. This paper extends the process to possibly anisotropic spatial structures. For regular grid observations we prove strong consistency and asymptotic normality of pairwise maximum likelihood estimates for fixed and increasing spatial domain, when the number...     »
Stichworte:
anisotropic space-time process; Brown-Resnick space-time process; hypothesis test for spatial isotropy; max-stable process; max-stable model check; pairwise likelihood; pairwise maximum likelihood estimate
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Extremes
Jahr:
2016
Band / Volume:
19
Jahr / Monat:
2016-12
Monat:
Dec
Heft / Issue:
4
Seitenangaben Beitrag:
627-660
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1007/s10687-016-0257-1
WWW:
Springer
Verlag / Institution:
Springer
Verlagsort:
New York
Print-ISSN:
1386-1999
E-ISSN:
1572-915X
Status:
Verlagsversion / published
Angenommen (von Zeitschrift):
23.05.2016
Publikationsdatum:
04.06.2016
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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