Search Results - subject:"Brown-resnick process"

Long range dependence for stable random processes

Makogin, Vitalii; Oesting, Marco; Rapp, Albert; … - In: Journal of Time Series Analysis 42 (2021) 2, pp. 161-185

We investigate long and short memory in α-stable moving averages and max-stable processes with α-Fréchet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence based on the covariance of indicators of excursion sets. Sufficient conditions...

Persistent link: https://www.econbiz.de/10012428900

A continuous updating weighted least squares estimator of tail dependence in high dimensions

Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan - 2016

Persistent link: https://www.econbiz.de/10011427965

An M-estimator of Spatial Tail Dependence

Einmahl, John; Kiriliouk, A.; Krajina, A.; Segers, J. - Tilburg University, Center for Economic Research - 2014

Tail dependence models for distributions attracted to a max-stable law are tted using observations above a high threshold. To cope with spatial, high-dimensional data, a rankbased M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the...

Persistent link: https://www.econbiz.de/10011090591

An M-estimator of spatial tail dependence

Einmahl, John H. J.; Kiriliouk, Anna; Krajina, Andrea; … - 2014

Persistent link: https://www.econbiz.de/10010395535

Extremal behavior of squared Bessel processes attracted by the Brown–Resnick process

Das, Bikramjit; Engelke, Sebastian; Hashorva, Enkelejd - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 780-796

those processes converge weakly on the space of continuous functions to the Brown–Resnick process. …The convergence of properly time-scaled and normalized maxima of independent standard Brownian motions to the Brown–Resnick … process is well-known in the literature. In this paper, we study the extremal functional behavior of non-Gaussian processes …

Persistent link: https://www.econbiz.de/10011194127

Stationarity of multivariate particle systems

Molchanov, Ilya; Stucki, Kaspar - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 2272-2285

A particle system is a family of i.i.d. stochastic processes with values translated by Poisson points. We obtain conditions that ensure the stationarity in time of the particle system in Rd and in some cases provide a full characterisation of the stationarity property. In particular, a full...

Persistent link: https://www.econbiz.de/10010664974