论文标题
基于重尾随机场的极端光谱密度的值估算
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
论文作者
论文摘要
我们考虑在二维整数晶格上进行严格固定的随机场，并定期变化边缘和有限维分布。利用常规变化，我们定义了空间极端图，该图仅考虑到随机场中最大的值。该极端图是一个空间自动增强功能。我们定义了相应的极端光谱密度及其估计量，即极端周期图。基于极端周期图，我们考虑了适当的参数随机字段类别的Whittle估计器，包括棕色resnick随机场以及定期改变最大变化的平均值。
We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into account only the largest values in the random field. This extremogram is a spatial autocovariance function. We define the corresponding extremal spectral density and its estimator, the extremal periodogram. Based on the extremal periodogram, we consider the Whittle estimator for suitable classes of parametric random fields including the Brown-Resnick random field and regularly varying max-moving averages.
