Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes
Keywords:
Max-stable process, Spatio-temporal process, extreme values, Copulas, Generalized Pareto distributionsAbstract
Max-stability is the foundation of multivariate extreme values analysis. This paper investigates a asymptotic dependence modeling of max-stable processes both with spatial and temporal variables. SpeciÂ…cally the paper provides new characterizations of extremal distributions via a dependence measure of the stochastic joint behavior at given locality s and date t. The analytical forms of spatio-temporal asymptotic dependence structures are provided for the main bivariate and trivariate models of max-stableprocesses.
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Published
2017-11-02
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Mathematical Statistics
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How to Cite
Asymptotic Dependence Modeling for Spatio-temporal Max-stable Processes. (2017). European Journal of Pure and Applied Mathematics, 10(5), 1035-1049. https://www.ejpam.com/index.php/ejpam/article/view/3109