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Titel:

Semiparametric estimation for isotropic max-stable space-time processes

Dokumenttyp:
Zeitungsartikel
Autor(en):
Buhl, S., Davis, R.A., Klüppelberg, C., and Steinkohl, C.
Abstract:
Regularly varying space-time processes have proved useful to study extremal dependence in space-time data. We propose a semiparametric estimation procedure based on a closed form expression of the extremogram to estimate parametric models of extremal dependence functions. We establish the asymptotic properties of the resulting parameter estimates and propose subsampling procedures to obtain asymptotically correct confidence intervals. A simulation study shows that the proposed procedure works we...     »
Stichworte:
Brown-Resnick process, extremogram, max-stable process, semiparametric estima- tion, space-time process, subsampling, mixing.
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Bernoulli
Jahr:
2019
Band / Volume:
25
Jahr / Monat:
2019-09
Quartal:
3. Quartal
Monat:
Sep
Heft / Issue:
4A
Seitenangaben Beitrag:
2508–2537
Sprache:
en
WWW:
Project Euclid
Verlag / Institution:
Bernoulli
Status:
Verlagsversion / published
Eingereicht (bei Zeitschrift):
01.09.2016
Publikationsdatum:
13.09.2019
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
Eingabe:
01.09.2016
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