Stochastic derivative estimation for max-stable random fields

DOI10.1016/j.ejor.2021.12.026OpenAlexW3096408089MaRDI QIDQ2672077

Erwan Koch, Christian Y. Robert

Publication date: 8 June 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.05893

zbMATH Keywords

infinitesimal perturbation analysisrisk assessmentrobustness and sensitivity analysismax-stable random fieldslikelihood ratio method

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Non-Markovian processes: estimation (62M09) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Uses Software

• ismev
• SpatialExtremes
• mev

Cites Work

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