The behavior of multivariate maxima of moving maxima processes
By Zhengjun Zhang, Richard L. Smith. 2004
74 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/717ae9fc99d147d067b4f108fa511d5361aea8d1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Stilian A. Stoev
- Yizao Wang
- Johan Segers
- A. C. Davison
- Murad S. Taqqu
- Zakhar Kabluchko
- Martin Schlather
- Laurens de Haan
In Finance
- Zakhar Kabluchko
- A. C. Davison
- Johan Segers
- Stilian A. Stoev
- Yizao Wang
- Mathieu Ribatet
- Raphaël Huser
- Martin Schlather
In Management Science and Operations Research
- Stilian A. Stoev
- Yizao Wang
- Murad S. Taqqu
- Johan Segers
- Zakhar Kabluchko
- Martin Schlather
- Laurens de Haan
- Zhengjun Zhang
Citations in the corpus
- Conditional sampling for spectrally discrete max-stable random fields (2010, methodology): “to represent well the complex spatial dependence structure in the data. On the other hand, the conditional sampling methodology applies to arbitrary discrete max-linear models. Following the ideas of [31], one could obtain very flexible models by combining independent maxima of moving maxima. Namely,”
- Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes (2005, methodology): “Statistical properties of the M4 of processes were also studied by Zhang and Smith (2004).”
- On the estimation and application of max-stable processes (2010, background): “We have a general joint probability formula (Zhang and Smith, 2004): where a l,k,d = 0 when the triple subindex is outside the range defined in (2.1).”
- Stationary max-stable fields associated to negative definite functions. (2008, methodology): “First, we recall a definition of mixed moving maxima processes as given in [27, 30]; see also [14, 29, 31].”
- Regularly varying multivariate time series (2007, background): “, 2002b), and moving maxima processes with heavy-tailed innovations (Davis and Resnick, 1989, 1993; Zhang and Smith, 2004).”