A0684
Title: Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Authors: Yuwei Zhao - Xi\'an Jiaotong-Liverpool University (China) [presenting]
Abstract: A strictly stationary random field is considered on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, the spatial extremogram is defined, which takes into account only the largest values in the random field. This extremogram is a spatial autocovariance function. The corresponding extremal spectral density and its estimator are defined as the extremal periodogram. Based on the extremal periodogram, the Whittle estimator is considered for suitable classes of parametric random fields, including the Brown-Resnick random field and regularly varying max-moving averages.
