Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
Hüsler–Reiss分布与Brown–Resnick过程的估计
Summary Estimation of extreme value parameters from observations in the max-domain of attraction of a multivariate max-stable distribution commonly uses aggregated data such as block maxima. Multivariate peaks-over-threshold methods, in contrast, exploit additional information from the non-aggregated ‘large’ observations. We introduce an approach based on peaks over thresholds that provides several new estimators for processes η in the max-domain of attraction of the…