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Tail index estimation for stationary spatial data (CROSBI ID 594912)

Prilog sa skupa u zborniku | izvorni znanstveni rad

Tafro, Azra Tail index estimation for stationary spatial data // Proceedings of the 17th European Young Statisticians Meeting / Canas Rodrigues, Paulo (ur.). Lisabon: Faculdade de Ciencias e Tecnologia, 2011. str. 235-239

Podaci o odgovornosti

Tafro, Azra

engleski

Tail index estimation for stationary spatial data

Hill estimator for the tail index of regularly varying data is extensively studied in the statistics literature. Its consistency has been established in various settings, including that of dependent sequences of random variables. Building on their results, we show that the Hill estimator is consistent also when applied to stationary spatial lattice models under suitable conditions. We further show how these conditions can be checked in the case of spatial moving averages and moving maxima with regularly varying noise. Based on joint work with Bojan Basrak.

Regular variation; Point processes; Extreme value theory

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Podaci o prilogu

235-239.

2011.

objavljeno

Podaci o matičnoj publikaciji

Proceedings of the 17th European Young Statisticians Meeting

Canas Rodrigues, Paulo

Lisabon: Faculdade de Ciencias e Tecnologia

978-972-8893-27-9

Podaci o skupu

17th European Young Statistician Meeting

predavanje

05.11.2011-09.11.2011

Lisabon, Portugal

Povezanost rada

Matematika