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Representations of max-stable processes based on single extreme events
extreme value statistics incremental representation max-stable process mixed moving maxima peaks-over-threshold weak convergence on function space
2012/11/23
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 simple...
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...