Exceedance probability of the integral of a stochastic process

Journal of Multivariate Analysis

Volumn 105, Issue 1, 2012, Pages 241-257

  Ferreira, Ana ^a,b   de Haan, Laurens ^b,c   Zhou, Chen ^c,d  

^a INSTITUTO SUPERIOR DE AGRONOMIA   (Portugal)

^b UNIVERSITY OF LISBON   (Portugal)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^d DE NEDERLANDSCHE BANK   (Netherlands)

Author keywords

Extreme value theory; Max stable processes; Pareto distribution; Spatial dependence; Tail probability estimation

Indexed keywords

EID: 80054743902     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2011.08.020     Document Type: Article

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