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Dokumenttyp:
Zeitschriftenaufsatz 
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 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:
Seitenangaben Beitrag:
223-269 
Sprache:
en 
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