Testing for changes in the tail behavior of Brown–Resnick Pareto processes

Christian Y. Robert

Stochastic Processes and their Applications, 2022, vol. 144, issue C, 312-368

Abstract: We consider the class of r-Pareto processes defined on [0,1] whose max-stable counterparts are Brown–Resnick processes. The aim of this paper is to propose a test whether the extreme value index function of a r-Pareto process of this class remains constant over [0,1]. We assume that we observe several independent r-Pareto processes over equispaced grids of [0,1] but with possibly heterogeneous grid resolutions. We build a test based on the normalized approximate total variations of the paths of these processes. We provide its properties under infill asymptotics and assess its finite sample performance through simulation experiments. We discuss how to proceed for random processes that belong to the domain of attraction of Brown–Resnick r-Pareto processes and illustrate the approach with an application to wind speed data from Germany.

Keywords: r-Pareto processes; Brown–Resnick max-stable processes; Approximate total variation; Infill asymptotics (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414921001903
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:144:y:2022:i:c:p:312-368

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2021.11.009

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().