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Tail correlation functions of max-stable processes

Strokorb, Kirstin, Ballani, Felix and Schlather, Martin 2015. Tail correlation functions of max-stable processes. Extremes 18 , pp. 241-271. 10.1007/s10687-014-0212-y

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Abstract

The tail correlation function (TCF) is a popular bivariate extremal dependence measure to summarize data in the domain of attraction of a max-stable process. For the class of TCFs, being largely unexplored so far, several aspects are contributed: (i) generalization of some mixing max-stable processes (ii) transfer of two geostatistical construction principles to max-stable processes, including the turning bands operator (iii) identification of subclasses of TCFs, including M3 processes based on radial monotone shapes (iv) recovery of subclasses of max-stable processes from TCFs (v) parametric classes (iv) diversity of max-stable processes sharing an identical TCF. We conclude that caution should be exercised when using TCFs for statistical inference.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Springer Verlag (Germany)
ISSN: 1386-1999
Funders: DFG (RTG1023) and VolkswagenStiftung (WEX-MOP)
Date of First Compliant Deposit: 6 January 2017
Date of Acceptance: 1 December 2014
Last Modified: 28 Feb 2020 10:45
URI: http://orca.cf.ac.uk/id/eprint/97228

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