Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/86939
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Martins, Ana Paula | por |
dc.contributor.author | Ferreira, Helena | por |
dc.contributor.author | Ferreira, Marta | por |
dc.date.accessioned | 2023-10-17T13:37:23Z | - |
dc.date.available | 2023-10-17T13:37:23Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | 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 | - |
dc.identifier.issn | 0167-7152 | por |
dc.identifier.uri | https://hdl.handle.net/1822/86939 | - |
dc.description.abstract | 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. | por |
dc.description.sponsorship | 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. | por |
dc.language.iso | eng | por |
dc.publisher | Elsevier 1 | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00212%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00013%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDP%2F00013%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F00006%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04621%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDP%2F04621%2F2020/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/3599-PPCDT/PTDC%2FMAT-STA%2F28243%2F2017/PT | por |
dc.rights | openAccess | por |
dc.subject | Extreme values | por |
dc.subject | Random fields modeling | por |
dc.subject | Tail dependence coefficients | por |
dc.subject | Asymptotic independence | por |
dc.title | A new random field on lattices | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
dc.relation.publisherversion | https://www.sciencedirect.com/science/article/pii/S0167715222000669 | por |
oaire.citationVolume | 186 | por |
dc.identifier.eissn | 1879-2103 | por |
dc.identifier.doi | 10.1016/j.spl.2022.109478 | por |
dc.subject.fos | Ciências Naturais::Matemáticas | por |
dc.subject.wos | Science & Technology | por |
sdum.journal | Statistics & Probability Letters | por |
oaire.version | AM | por |
dc.identifier.articlenumber | 109478 | por |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
pMAX.pdf | manuscript | 4,85 MB | Adobe PDF | Ver/Abrir |