Whittle estimation based on the extremal spectral density of a heavy-tailed random field

RT @mathSTb: Ewa Damek, Thomas Mikosch, Yuwei Zhao, Jacek Zienkiewicz: Whittle estimation based on the extremal spectral density of a heavy…

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. [3/3 of https://t.co/wn3oG6hiIz]

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 [2/3 of https://t.co/wn3o

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 [1/3 of https://t.co/wn3oG