The elements of an arbitrary max-stable sequence are exhibited as functionals of a 2-dimensional Poisson point process. The result is extended to a continuous time max-stable process that is continuous in probability. We define an analogue of a stochastic integral appropriate for this context.
Publié le : 1984-11-14
Classification:
Max-stability,
spectral representation,
60H05,
62M20
@article{1176993148,
author = {Haan, L. De},
title = {A Spectral Representation for Max-stable Processes},
journal = {Ann. Probab.},
volume = {12},
number = {4},
year = {1984},
pages = { 1194-1204},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993148}
}
Haan, L. De. A Spectral Representation for Max-stable Processes. Ann. Probab., Tome 12 (1984) no. 4, pp. 1194-1204. http://gdmltest.u-ga.fr/item/1176993148/