{"_id":"8yb9tjSQwqgHuL4LJ","bibbaseid":"engelke-malinowski-oesting-schlather-statisticalinferenceformaxstableprocessesbyconditioningonextremeevents-2014","downloads":0,"creationDate":"2019-03-05T12:27:43.186Z","title":"Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events","author_short":["Engelke, S.","Malinowski, A.","Oesting, M.","Schlather, M."],"year":2014,"bibtype":"article","biburl":"http://www.uni-goettingen.de/de/document/download/9d7c40531010bf5be953ccd9446e47ae.bib/GRK1644BibHomepage.bib","bibdata":{"bibtype":"article","type":"article","abstract":"This paper provides the basis for new methods of inference for max-stable processes $\\$xi$\\$ on general spaces that admit a certain incremental representation, which, in important cases, has a much simpler structure than the max-stable process itself. A corresponding peaks-over-threshold approach will incorporate all single events that are extreme in some sense and will therefore rely on a substantially larger amount of data in comparison to estimation procedures based on block maxima. Conditioning a process $\\$eta$\\$ in the max-domain of attraction of $\\$xi$\\$ on being extremal, several convergence results for the increments of $\\$eta$\\$ are proved. In a similar way, the shape functions of mixed moving maxima (M3) processes can be extracted from suitably conditioned single events $\\$eta. Connecting the two approaches, transformation formulae for processes that admit both an incremental and an M3 representation are identified.","author":[{"propositions":[],"lastnames":["Engelke"],"firstnames":["Sebastian"],"suffixes":[]},{"propositions":[],"lastnames":["Malinowski"],"firstnames":["Alexander"],"suffixes":[]},{"propositions":[],"lastnames":["Oesting"],"firstnames":["Marco"],"suffixes":[]},{"propositions":[],"lastnames":["Schlather"],"firstnames":["Martin"],"suffixes":[]}],"year":"2014","title":"Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events","keywords":"phd;stat","pages":"478–495","volume":"46","number":"02","issn":"0001-8678","journal":"Advances in Applied Probability","doi":"10.1239/aap/1401369703","howpublished":"refereed","bibtex":"@article{Engelke2014Representations,\r\n abstract = {This paper provides the basis for new methods of inference for max-stable\r\n\r\nprocesses $\\backslash$xi$\\backslash$ on general spaces that admit a certain incremental\r\n\r\nrepresentation, which, in important cases, has a much simpler structure than\r\n\r\nthe max-stable process itself. A corresponding peaks-over-threshold approach\r\n\r\nwill incorporate all single events that are extreme in some sense and will\r\n\r\ntherefore rely on a substantially larger amount of data in comparison to\r\n\r\nestimation procedures based on block maxima. Conditioning a process $\\backslash$eta$\\backslash$ in\r\n\r\nthe max-domain of attraction of $\\backslash$xi$\\backslash$ on being extremal, several convergence\r\n\r\nresults for the increments of $\\backslash$eta$\\backslash$ are proved. In a similar way, the shape\r\n\r\nfunctions of mixed moving maxima (M3) processes can be extracted from suitably\r\n\r\nconditioned single events $\\backslash$eta. Connecting the two approaches, transformation\r\n\r\nformulae for processes that admit both an incremental and an M3 representation\r\n\r\nare identified.},\r\n author = {Engelke, Sebastian and Malinowski, Alexander and Oesting, Marco and Schlather, Martin},\r\n year = {2014},\r\n title = {Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events},\r\n keywords = {phd;stat},\r\n pages = {478--495},\r\n volume = {46},\r\n number = {02},\r\n issn = {0001-8678},\r\n journal = {Advances in Applied Probability},\r\n doi = {10.1239/aap/1401369703},\r\n howpublished = {refereed}\r\n}\r\n\r\n\r\n","author_short":["Engelke, S.","Malinowski, A.","Oesting, M.","Schlather, M."],"key":"Engelke2014Representations","id":"Engelke2014Representations","bibbaseid":"engelke-malinowski-oesting-schlather-statisticalinferenceformaxstableprocessesbyconditioningonextremeevents-2014","role":"author","urls":{},"keyword":["phd;stat"],"metadata":{"authorlinks":{}},"downloads":0},"search_terms":["statistical","inference","max","stable","processes","conditioning","extreme","events","engelke","malinowski","oesting","schlather"],"keywords":["phd;stat"],"authorIDs":[],"dataSources":["psxr4mFyE5JDwFLuZ","2w3D54bmLuhpt4TNv","t8S6Y6RWEwDAQHiSQ","cLGdYAfLyvQDgrYmh","8DKZik2cWsn9Xkr7S"]}