Tail correlation functions of max-stable processes

Strokorb, Kirstin ORCID: https://orcid.org/0000-0001-8748-3014, Ballani, Felix and Schlather, Martin 2015. Tail correlation functions of max-stable processes. Extremes 18 , pp. 241-271. 10.1007/s10687-014-0212-y

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Abstract

The tail correlation function (TCF) is a popular bivariate extremal dependence measure to summarize data in the domain of attraction of a max-stable process. For the class of TCFs, being largely unexplored so far, several aspects are contributed: (i) generalization of some mixing max-stable processes (ii) transfer of two geostatistical construction principles to max-stable processes, including the turning bands operator (iii) identification of subclasses of TCFs, including M3 processes based on radial monotone shapes (iv) recovery of subclasses of max-stable processes from TCFs (v) parametric classes (iv) diversity of max-stable processes sharing an identical TCF. We conclude that caution should be exercised when using TCFs for statistical inference.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Publisher:	Springer Verlag (Germany)
ISSN:	1386-1999
Funders:	DFG (RTG1023) and VolkswagenStiftung (WEX-MOP)
Date of First Compliant Deposit:	6 January 2017
Date of Acceptance:	1 December 2014
Last Modified:	05 May 2023 12:43
URI:	https://orca.cardiff.ac.uk/id/eprint/97228

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