2006-02-01
Spatial extremes: Models for the stationary case
Publication
Publication
Annals of Statistics , Volume 34 - Issue 1 p. 146- 168
The aim of this paper is to provide models for spatial extremes in the case of stationarity. The spatial dependence at extreme levels of a stationary process is modeled using an extension of the theory of max-stable processes of de Haan and Pickands [Probab. Theory Related Fields 72 (1986) 477-492]. We propose three one-dimensional and three two-dimensional models. These models depend on just one parameter or a few parameters that measure the strength of tail dependence as a function of the distance between locations. We also propose two estimators for this parameter and prove consistency under domain of attraction conditions and asymptotic normality under appropriate extra conditions.
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| , , , , , | |
| doi.org/10.1214/009053605000000886, hdl.handle.net/1765/73283 | |
| Annals of Statistics | |
| Organisation | Erasmus School of Economics |
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de Haan, L., & Pereira, T. (2006). Spatial extremes: Models for the stationary case. Annals of Statistics, 34(1), 146–168. doi:10.1214/009053605000000886 |
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