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Extremes最新文献

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Multi-normex distributions for the sum of random vectors. Rates of convergence 随机向量和的多normx分布。收敛速度
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-07-20 DOI: 10.1007/s10687-022-00461-7
M. Kratz, E. Prokopenko
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引用次数: 1
The tail process and tail measure of continuous time regularly varying stochastic processes 连续时间正则变随机过程的尾过程和尾度量
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-06-05 DOI: 10.1007/s10687-021-00417-3
Philippe Soulier

The goal of this paper is to investigate the tools of extreme value theory originally introduced for discrete time stationary stochastic processes (time series), namely the tail process and the tail measure, in the framework of continuous time stochastic processes with paths in the space (mathcal {D}) of càdlàg functions indexed by (mathbb {R}), endowed with Skorohod’s J1 topology. We prove that the essential properties of these objects are preserved, with some minor (though interesting) differences arising. We first obtain structural results which provide representation for homogeneous shift-invariant measures on (mathcal {D}) and then study regular variation of random elements in (mathcal {D}). We give practical conditions and study several examples, recovering and extending known results.

本文的目的是在空间中具有路径的连续时间随机过程的框架中，研究最初引入的用于离散时间平稳随机过程(时间序列)的极值理论工具，即尾部过程和尾部度量 (mathcal {D}) 的càdlàg函数索引 (mathbb {R})，具有Skorohod的J1拓扑结构。我们证明了这些物体的基本属性被保留了下来，只是出现了一些细微的(虽然有趣的)差异。首先得到了上齐次平移不变测度的结构结果 (mathcal {D}) 然后研究中随机元素的规律变化 (mathcal {D})． 给出了实际情况并研究了几个例子，对已知结果进行了恢复和推广。
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引用次数: 12
Truncated pair-wise likelihood for the Brown-Resnick process with applications to maximum temperature data 应用于最高温度数据的Brown-Resnick过程的截断成对似然
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-06-01 DOI: 10.1007/s10687-021-00422-6
Zhendong Huang, O. Shulyarenko, Davide Ferrari
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引用次数: 0
Modeling spatial extremes using normal mean-variance mixtures 使用正态均值-方差混合模型模拟空间极值
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-05-11 DOI: 10.1007/s10687-021-00434-2
Zhongwei Zhang, Raphael Huser, T. Opitz, J. Wadsworth
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引用次数: 8
Extreme value theory for spatial random fields – with application to a Lévy-driven field 空间随机场的极值理论——及其在lvac驱动场中的应用
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-05-07 DOI: 10.1007/s10687-021-00415-5
Mads Stehr, Anders Rønn-Nielsen
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引用次数: 6
Conditional marginal expected shortfall 有条件边际预期短缺
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-05-06 DOI: 10.1007/s10687-020-00403-1
Y. Goegebeur, A. Guillou, Nguyen Khanh Le Ho, J. Qin
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引用次数: 5
New characterizations of multivariate Max-domain of attraction and D-Norms 多元吸引极大域与d -范数的新刻画
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-05-05 DOI: 10.1007/s10687-021-00416-4
Michael Falk, T. Fuller
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引用次数: 1
Editorial to the special issue: Statistical modeling of environmental extremes 特刊编辑：极端环境的统计建模
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-04-09 DOI: 10.1007/S10687-021-00414-6
Daniel Cooley, P. Naveau
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引用次数: 1
Palm theory for extremes of stationary regularly varying time series and random fields 定常变时间序列和随机场极值的Palm理论
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-04-08 DOI: 10.1007/s10687-022-00447-5
Hrvoje Planini'c
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引用次数: 8
Randomly stopped extreme Zipf extensions 随机停止极端Zipf扩展
IF 1.3 3区 数学 Q2 Economics, Econometrics and Finance
Extremes
Pub Date : 2021-03-23 DOI: 10.1007/s10687-021-00410-w
Ariel Duarte-López, M. Pérez-Casany, J. Valero
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引用次数: 1
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