Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events

DOI10.1239/aap/1401369703zbMath1291.60106arXiv1209.2303OpenAlexW2056535092MaRDI QIDQ5169503

Martin Schlather, Sebastian Engelke, Alexander Malinowski, Marco Oesting

Publication date: 10 July 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.2303

zbMATH Keywords

max-stable processextreme value statisticspeaks-over-thresholdmixed moving maximaincremental representation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Representations of \(\max\)-stable processes via exponential tilting ⋮ Conditional independence among max-stable laws ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ Spectral tail processes and max-stable approximations of multivariate regularly varying time series ⋮ Equivalent representations of max-stable processes via ℓ^p-norms

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