Whittle estimation based on the extremal spectral density of a heavy-tailed random field

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Standard

Whittle estimation based on the extremal spectral density of a heavy-tailed random field. / Damek, Ewa; Mikosch, Thomas; Zhao, Yuwei; Zienkiewicz, Jacek.

I: Stochastic Processes and Their Applications, Bind 155, 2023, s. 232-267.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Damek, E, Mikosch, T, Zhao, Y & Zienkiewicz, J 2023, 'Whittle estimation based on the extremal spectral density of a heavy-tailed random field', Stochastic Processes and Their Applications, bind 155, s. 232-267. https://doi.org/10.1016/j.spa.2022.10.004

APA

Damek, E., Mikosch, T., Zhao, Y., & Zienkiewicz, J. (2023). Whittle estimation based on the extremal spectral density of a heavy-tailed random field. Stochastic Processes and Their Applications, 155, 232-267. https://doi.org/10.1016/j.spa.2022.10.004

Vancouver

Damek E, Mikosch T, Zhao Y, Zienkiewicz J. Whittle estimation based on the extremal spectral density of a heavy-tailed random field. Stochastic Processes and Their Applications. 2023;155:232-267. https://doi.org/10.1016/j.spa.2022.10.004

Author

Damek, Ewa ; Mikosch, Thomas ; Zhao, Yuwei ; Zienkiewicz, Jacek. / Whittle estimation based on the extremal spectral density of a heavy-tailed random field. I: Stochastic Processes and Their Applications. 2023 ; Bind 155. s. 232-267.

Bibtex

@article{1806f26922bf40b592e10e19659f4264,
title = "Whittle estimation based on the extremal spectral density of a heavy-tailed random field",
abstract = "We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into account only the largest values in the random field. This extremogram is a spatial autocovariance function. We define the corresponding extremal spectral density and its estimator, the extremal periodogram. Based on the extremal periodogram, we consider the Whittle estimator for suitable classes of parametric random fields including the Brown–Resnick random field and regularly varying max-moving averages.",
keywords = "Brown-Resnick random field, Extreme value theory, Max-moving averages, Spectral analysis, Whittle estimation",
author = "Ewa Damek and Thomas Mikosch and Yuwei Zhao and Jacek Zienkiewicz",
note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",
year = "2023",
doi = "10.1016/j.spa.2022.10.004",
language = "English",
volume = "155",
pages = "232--267",
journal = "Stochastic Processes and their Applications",
issn = "0304-4149",
publisher = "Elsevier BV * North-Holland",

}

RIS

TY - JOUR

T1 - Whittle estimation based on the extremal spectral density of a heavy-tailed random field

AU - Damek, Ewa

AU - Mikosch, Thomas

AU - Zhao, Yuwei

AU - Zienkiewicz, Jacek

N1 - Publisher Copyright: © 2022 Elsevier B.V.

PY - 2023

Y1 - 2023

N2 - We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into account only the largest values in the random field. This extremogram is a spatial autocovariance function. We define the corresponding extremal spectral density and its estimator, the extremal periodogram. Based on the extremal periodogram, we consider the Whittle estimator for suitable classes of parametric random fields including the Brown–Resnick random field and regularly varying max-moving averages.

AB - We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into account only the largest values in the random field. This extremogram is a spatial autocovariance function. We define the corresponding extremal spectral density and its estimator, the extremal periodogram. Based on the extremal periodogram, we consider the Whittle estimator for suitable classes of parametric random fields including the Brown–Resnick random field and regularly varying max-moving averages.

KW - Brown-Resnick random field

KW - Extreme value theory

KW - Max-moving averages

KW - Spectral analysis

KW - Whittle estimation

U2 - 10.1016/j.spa.2022.10.004

DO - 10.1016/j.spa.2022.10.004

M3 - Journal article

AN - SCOPUS:85140929937

VL - 155

SP - 232

EP - 267

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

ER -

ID: 371272954