Semiparametric estimation for max-stable space-time processes
Event details
| Date | 19.09.2014 |
| Hour | 15:15 |
| Speaker | Prof. Claudia Klüppelberg, Technische Universität Munich |
| Location | |
| Category | Conferences - Seminars |
Max-stable space-time processes have been developed to study extremal dependence in space-time data. We propose a semiparametric estimation procedure based on a closed form expression of the extremogram to estimate the parameters in a max-stable space-time process.
We show asymptotic properties of the resulting parameter estimates and propose bootstrap procedures to obtain asymptotically correct confidence intervals. A simulation study shows that the proposed procedure works well for moderate sample sizes. Finally, we apply this estimation procedure to fitting a max-stable model to radar rainfall measurements in a region in Florida.
This is joint work with Richard Davis and Christina Steinkohl.
We show asymptotic properties of the resulting parameter estimates and propose bootstrap procedures to obtain asymptotically correct confidence intervals. A simulation study shows that the proposed procedure works well for moderate sample sizes. Finally, we apply this estimation procedure to fitting a max-stable model to radar rainfall measurements in a region in Florida.
This is joint work with Richard Davis and Christina Steinkohl.
Practical information
- Informed public
- Free