• Corpus ID: 88513930

Representations of max-stable processes based on single extreme events

@article{Engelke2012RepresentationsOM,
  title={Representations of max-stable processes based on single extreme events},
  author={Sebastian Engelke and Alexander Malinowski and Marco Oesting and Martin Schlather},
  journal={arXiv: Probability},
  year={2012}
}
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 simpler structure than the max-stable process itself. A corresponding peaks-over-threshold approach will incorporate all single events that are extreme in some sense and will therefore rely on a substantially larger amount of data in comparison to estimation procedures based on block maxima. Conditioning… 

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M. OestingM. SchlatherInstitut fu¨r MathematikUniversita¨t MannheimA 5, 668161 MannheimGermanye-mail: oesting@uni-mannheim.deschlather@uni-mannheim.deC. ZhouErasmus School of EconomicsErasmus

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