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Titel:

Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Buhl, S. and Klüppelberg, C.
Abstract:
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such stationary 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 margin...     »
Stichworte:
Brown-Resnick process, Extremogram, Generalised least squares estimation, Max-stable process, Observation schemes, Regularly varying process, Semiparametric estimation, Space-time process
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Extremes
Jahr:
2019
Band / Volume:
22
Jahr / Monat:
2019-06
Quartal:
2. Quartal
Monat:
Jun
Heft / Issue:
2
Seitenangaben Beitrag:
223-269
Sprache:
en
Volltext / DOI:
doi:10.1007/s10687-018-0340-x
Verlag / Institution:
Springer Science and Business Media LLC
E-ISSN:
1386-19991572-915X
Hinweise:
published online: 03.01.2019
Publikationsdatum:
01.06.2019
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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