Exceedance probability of the integral of a stochastic process

DOI10.1016/J.JMVA.2011.08.020zbMath1274.62345OpenAlexW2061177950MaRDI QIDQ764493

D. Kharzeev

Publication date: 13 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.08.020

zbMATH Keywords

extreme value theoryPareto distributionspatial dependencemax-stable processestail probability estimation

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (6)

Power variations for a class of Brown-Resnick processes ⋮ Testing for a generalized Pareto process ⋮ Extreme residual dependence for random vectors and processes ⋮ Fractionally integrated Gauss-Markov processes and applications ⋮ On the tail behaviour of aggregated random variables ⋮ Modelling extremes of spatial aggregates of precipitation using conditional methods

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