An exceptional max-stable process fully parameterized by its extremal coefficients

DOI10.3150/13-BEJ567zbMath1323.60075arXiv1504.03459OpenAlexW1964733624MaRDI QIDQ2345121

Martin Schlather, Kirstin Strokorb

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03459

zbMATH Keywords

max-stable processesextremal coefficientsBerstein functionsTawn-Molchanov process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items (10)

The realization problem for tail correlation functions ⋮ Tail-dependence, exceedance sets, and metric embeddings ⋮ Upper bounds on value-at-risk for the maximum portfolio loss ⋮ Multidimensional extremal dependence coefficients ⋮ ABC model selection for spatial extremes models applied to south Australian maximum temperature data ⋮ Max-stable random sup-measures with comonotonic tail dependence ⋮ Long range dependence for stable random processes ⋮ Distributionally robust inference for extreme value-at-risk ⋮ Maxima of independent, non-identically distributed Gaussian vectors ⋮ Tail correlation functions of max-stable processes

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