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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
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...     »
Keywords:
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 Decimal Classification:
510 Mathematik
Journal title:
Extremes
Year:
2016
Journal volume:
19
Year / month:
2016-12
Month:
Dec
Journal issue:
4
Pages contribution:
627-660
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s10687-016-0257-1
WWW:
Springer
Publisher:
Springer
Publisher address:
New York
Print-ISSN:
1386-1999
E-ISSN:
1572-915X
Status:
Verlagsversion / published
Accepted:
23.05.2016
Date of publication:
04.06.2016
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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