Similar Search Results

Towards estimating extremal serial dependence via the bootstrapped extremogram

Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor - In: Journal of Econometrics 170 (2012) 1, pp. 142-152

Davis and Mikosch (2009a) introduced the extremogram as a flexible quantitative tool for measuring various types of … extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram …. A major difficulty was the construction of credible confidence bands for the extremogram. In this paper, we employ the …

Persistent link: https://www.econbiz.de/10010664684

Some Results for Extreme Value Processes in Analogy to the Gaussian Spectral Representation

Ehlert, Andree; Schlather, Martin - 2010

The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...

Persistent link: https://www.econbiz.de/10010329892

Some results for extreme value processes in analogy to the Gaussian spectral representation

Ehlert, Andree; Schlather, Martin - 2010

Persistent link: https://www.econbiz.de/10010336338

Approximate Bayesian computing for spatial extremes

Erhardt, Robert J.; Smith, Richard L. - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1468-1481

Statistical analysis of max-stable processes used to model spatial extremes has been limited by the difficulty in calculating the joint likelihood function. This precludes all standard likelihood-based approaches, including Bayesian approaches. In this paper, we present a Bayesian approach...

Persistent link: https://www.econbiz.de/10010871449

On approximating max-stable processes and constructing extremal copula functions

Zhang, Zhengjun - In: Statistical Inference for Stochastic Processes 12 (2009) 1, pp. 89-114

Persistent link: https://www.econbiz.de/10005616059

The estimation of M4 processes with geometric moving patterns

Zhang, Zhengjun - In: Annals of the Institute of Statistical Mathematics 60 (2008) 1, pp. 121-150

Persistent link: https://www.econbiz.de/10005622203

On the hitting probability of max-stable processes

Hofmann, Martin - In: Statistics & Probability Letters 83 (2013) 11, pp. 2516-2521

The probability that a max-stable process η in C[0,1] with identical marginal distribution function F hits x∈R with 0F(x)1 is the hitting probability of x. We show that the hitting probability is always positive, unless the components of η are completely dependent. Moreover, we consider the...

Persistent link: https://www.econbiz.de/10011040122

Extremal t processes: Elliptical domain of attraction and a spectral representation

Opitz, T. - In: Journal of Multivariate Analysis 122 (2013) C, pp. 409-413

The extremal t process was proposed in the literature for modeling spatial extremes within a copula framework based on the extreme value limit of elliptical t distributions (Davison et al. (2012) [5]). A major drawback of this max-stable model was the lack of a spectral representation such that...

Persistent link: https://www.econbiz.de/10011042001

Decomposability for stable processes

Wang, Yizao; Stoev, Stilian A.; Roy, Parthanil - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 1093-1109

We characterize all possible independent symmetric α-stable (SαS) components of an SαS process, 0<α<2. In particular, we focus on stationary SαS processes and their independent stationary SαS components. We also develop a parallel characterization theory for max-stable processes.

Persistent link: https://www.econbiz.de/10011064902

Sojourn times and the fragility index

Falk, Michael; Hofmann, Martin - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 1110-1128

We investigate the sojourn time above a high threshold of a continuous stochastic process Y=(Yt)t∈[0,1]. It turns out that the limit, as the threshold increases, of the expected sojourn time given that it is positive, exists if the copula process corresponding to Y is in the functional domain...

Persistent link: https://www.econbiz.de/10011065067

1
2
3
4
5
6
7
8
9
10
Next
Last