Spatial extremes: Models for the stationary case

被引:73
作者
De Haan, L
Pereira, TT
机构
[1] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands
[2] Univ Lisbon, Dept Stat & Operat Res, Fac Sci, P-1749016 Lisbon, Portugal
关键词
extreme-value theory; spatial extremes; spatial tail dependence; maxstable processes; multivariate extremes; serniparametric estimation;
D O I
10.1214/009053605000000886
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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.
引用
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页码:146 / 168
页数:23
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