Tail correlation functions of max-stable processes

DOI10.1007/s10687-014-0212-yzbMath1319.60118arXiv1402.4632OpenAlexW173810024WikidataQ59402060 ScholiaQ59402060MaRDI QIDQ2352977

Martin Schlather, Felix Ballani, Kirstin Strokorb

Publication date: 7 July 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.4632

zbMATH Keywords

tail dependencemax-stable processesextremal coefficientmixed moving maximaturning bandsBrown-Resnick processesPoisson stormstationary truncationtail correlation functions

Mathematics Subject Classification ID

Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Related Items

The realization problem for tail correlation functions ⋮ Bernoulli and tail-dependence compatibility ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ Extremes of randomly scaled Gumbel risks ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ Spatial risk measures and applications to max-stable processes ⋮ High-dimensional modeling of spatial and spatio-temporal conditional extremes using INLA and Gaussian Markov random fields ⋮ Tail-dependence, exceedance sets, and metric embeddings ⋮ Space‒time max-stable models with spectral separability ⋮ ABC model selection for spatial extremes models applied to south Australian maximum temperature data ⋮ Extremes and regular variation ⋮ The spectrogram: a threshold-based inferential tool for extremes of stochastic processes ⋮ Modeling spatial tail dependence with Cauchy convolution processes

Uses Software

• R
• RandomFields

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