Free extreme values
Arous, Gerard Ben ; Voiculescu, Dan Virgil
Ann. Probab., Tome 34 (2006) no. 1, p. 2037-2059 / Harvested from Project Euclid
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Free probability analogs of the basics of extreme-value theory are obtained, based on Ando’s spectral order. This includes classification of freely max-stable laws and their domains of attraction, using “free extremal convolutions” on the distributions. These laws coincide with the limit laws in the classical peaks-over-threshold approach. A free extremal projection-valued process over a measure-space is constructed, which is related to the free Poisson point process.
Publié le : 2006-09-14
Classification:  Free max-stable laws,  free extremal process,  generalized Pareto laws,  Ando spectral order,  46L54,  60G70,  46L53 
@article{1163517232,
     author = {Arous, Gerard Ben and Voiculescu, Dan Virgil},
     title = {Free extreme values},
     journal = {Ann. Probab.},
     volume = {34},
     number = {1},
     year = {2006},
     pages = { 2037-2059},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1163517232}
}

Arous, Gerard Ben; Voiculescu, Dan Virgil. Free extreme values. Ann. Probab., Tome 34 (2006) no. 1, pp.  2037-2059. http://gdmltest.u-ga.fr/item/1163517232/