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Title:

Limit theory for the empirical extremogram of random fields

Document type:
Zeitungsartikel
Author(s):
Buhl, S. and Klüppelberg, C.
Abstract:
Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions to ensure asymptotic normality of the empirical extremogram centred by a pre-asymptotic version. The proof relies on a CLT for exceedance variables. For max-stable processes with Fréchet margins we provide conditions such that the empirical extremogram centre...     »
Keywords:
Brown–Resnick process Empirical extremogram Extremogram Max-moving average process Max-stable process Random field Spatial CLT Spatial mixing
Dewey Decimal Classification:
510 Mathematik
Journal title:
Stochastic Processes and their Applications
Year:
2018
Journal volume:
128
Year / month:
2018-06
Quarter:
2. Quartal
Month:
Jun
Journal issue:
6
Pages contribution:
2060-2082
WWW:
Stochastic Processes and their Applications
Publisher:
Elsevier
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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