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Asymptotic Properties of the Empirical Spatial Extremogram

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  • Yong Bum Cho
  • Richard A. Davis
  • Souvik Ghosh

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  • Yong Bum Cho & Richard A. Davis & Souvik Ghosh, 2016. "Asymptotic Properties of the Empirical Spatial Extremogram," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 757-773, September.
    • Handle: RePEc:bla:scjsta:v:43:y:2016:i:3:p:757-773
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    File URL: http://hdl.handle.net/10.1111/sjos.12202
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    References listed on IDEAS

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    1. Jenish, Nazgul & Prucha, Ingmar R., 2009. "Central limit theorems and uniform laws of large numbers for arrays of random fields," Journal of Econometrics, Elsevier, vol. 150(1), pages 86-98, May.
    2. Davis, Richard A. & Mikosch, Thomas & Cribben, Ivor, 2012. "Towards estimating extremal serial dependence via the bootstrapped extremogram," Journal of Econometrics, Elsevier, vol. 170(1), pages 142-152.
    3. Dombry, Clément & Eyi-Minko, Frédéric, 2012. "Strong mixing properties of max-infinitely divisible random fields," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3790-3811.
    4. Richard A. Davis & Claudia Klüppelberg & Christina Steinkohl, 2013. "Statistical inference for max-stable processes in space and time," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(5), pages 791-819, November.
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    Cited by:

    1. Damek, Ewa & Mikosch, Thomas & Zhao, Yuwei & Zienkiewicz, Jacek, 2023. "Whittle estimation based on the extremal spectral density of a heavy-tailed random field," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 232-267.
    2. Buhl, Sven & Klüppelberg, Claudia, 2018. "Limit theory for the empirical extremogram of random fields," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 2060-2082.
    3. Wu, Lifan & Samorodnitsky, Gennady, 2020. "Regularly varying random fields," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4470-4492.
    4. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.

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