A new random field on lattices

Detalhes bibliográficos
Autor(a) principal: Martins, Ana Paula
Data de Publicação: 2022
Outros Autores: Ferreira, Helena, Ferreira, Marta
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://hdl.handle.net/1822/86939
Resumo: The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these random phenomena carry variables defined in time and space, usually modeled through random fields. Thus, the study of random fields in the context of extreme values becomes imperative and has been developed especially in the last decade. In this work, we propose a new random field, called pMAX, designed for modeling extremes. We analyze its dependence and pre-asymptotic dependence structure through the corresponding bivariate tail dependence coefficients. Estimators for the model parameters are obtained and their finite sample properties analyzed. Examples with simulations illustrate the results.
id RCAP_779b29fafdf6302574c6cb04dd69c0aa
oai_identifier_str oai:repositorium.sdum.uminho.pt:1822/86939
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling A new random field on latticesExtreme valuesRandom fields modelingTail dependence coefficientsAsymptotic independenceCiências Naturais::MatemáticasScience & TechnologyThe risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these random phenomena carry variables defined in time and space, usually modeled through random fields. Thus, the study of random fields in the context of extreme values becomes imperative and has been developed especially in the last decade. In this work, we propose a new random field, called pMAX, designed for modeling extremes. We analyze its dependence and pre-asymptotic dependence structure through the corresponding bivariate tail dependence coefficients. Estimators for the model parameters are obtained and their finite sample properties analyzed. Examples with simulations illustrate the results.The authors thank the reviewers for their comments and suggestions that helped to improve this work. The first and second authors were partially supported by the research unit Centre of Mathematics and Applications of University of Beira Interior UIDB/00212/2020 - FCT (Fundação para a Ciência e a Tecnologia). The third author was partially financed by Portuguese Funds through FCT (Fundação para a Ciência e a Tecnologia) within the Projects UIDB/00013/2020 and UIDP/00013/2020 of Centre of Mathematics of the University of Minho, UIDB/00006/2020 of Centre of Statistics and its Applications of University of Lisbon, UIDB/04621/2020 and UIDP/04621/2020 of Center for Computational and Stochastic Mathematics and PTDC/MAT-STA/28243/2017.ElsevierUniversidade do MinhoMartins, Ana PaulaFerreira, HelenaFerreira, Marta20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/86939engMartins, A. P., Ferreira, H., & Ferreira, M. (2022, July). A new random field on lattices. Statistics & Probability Letters. Elsevier BV. http://doi.org/10.1016/j.spl.2022.1094780167-71521879-210310.1016/j.spl.2022.109478109478https://www.sciencedirect.com/science/article/pii/S0167715222000669info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-10-21T01:26:26Zoai:repositorium.sdum.uminho.pt:1822/86939Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:39:00.982904Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A new random field on lattices
title A new random field on lattices
spellingShingle A new random field on lattices
Martins, Ana Paula
Extreme values
Random fields modeling
Tail dependence coefficients
Asymptotic independence
Ciências Naturais::Matemáticas
Science & Technology
title_short A new random field on lattices
title_full A new random field on lattices
title_fullStr A new random field on lattices
title_full_unstemmed A new random field on lattices
title_sort A new random field on lattices
author Martins, Ana Paula
author_facet Martins, Ana Paula
Ferreira, Helena
Ferreira, Marta
author_role author
author2 Ferreira, Helena
Ferreira, Marta
author2_role author
author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Martins, Ana Paula
Ferreira, Helena
Ferreira, Marta
dc.subject.por.fl_str_mv Extreme values
Random fields modeling
Tail dependence coefficients
Asymptotic independence
Ciências Naturais::Matemáticas
Science & Technology
topic Extreme values
Random fields modeling
Tail dependence coefficients
Asymptotic independence
Ciências Naturais::Matemáticas
Science & Technology
description The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these random phenomena carry variables defined in time and space, usually modeled through random fields. Thus, the study of random fields in the context of extreme values becomes imperative and has been developed especially in the last decade. In this work, we propose a new random field, called pMAX, designed for modeling extremes. We analyze its dependence and pre-asymptotic dependence structure through the corresponding bivariate tail dependence coefficients. Estimators for the model parameters are obtained and their finite sample properties analyzed. Examples with simulations illustrate the results.
publishDate 2022
dc.date.none.fl_str_mv 2022
2022-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/86939
url https://hdl.handle.net/1822/86939
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Martins, A. P., Ferreira, H., & Ferreira, M. (2022, July). A new random field on lattices. Statistics & Probability Letters. Elsevier BV. http://doi.org/10.1016/j.spl.2022.109478
0167-7152
1879-2103
10.1016/j.spl.2022.109478
109478
https://www.sciencedirect.com/science/article/pii/S0167715222000669
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799133650329010176

Registros relacionados