Stationary max-stable fields associated to negative definite functions
Kabluchko, Zakhar ; Schlather, Martin ; de Haan, Laurens
Ann. Probab., Tome 37 (2009) no. 1, p. 2042-2065 / Harvested from Project Euclid
Let Wi, i∈ℕ, be independent copies of a zero-mean Gaussian process {W(t), t∈ℝd} with stationary increments and variance σ2(t). Independently of Wi, let ∑i=1δUi be a Poisson point process on the real line with intensity e−y dy. We show that the law of the random family of functions {Vi(⋅), i∈ℕ}, where Vi(t)=Ui+Wi(t)−σ2(t)/2, is translation invariant. In particular, the process η(t)=⋁i=1Vi(t) is a stationary max-stable process with standard Gumbel margins. The process η arises as a limit of a suitably normalized and rescaled pointwise maximum of n i.i.d. stationary Gaussian processes as n→∞ if and only if W is a (nonisotropic) fractional Brownian motion on ℝd. Under suitable conditions on W, the process η has a mixed moving maxima representation.
Publié le : 2009-09-15
Classification:  Stationary max-stable processes,  Gaussian processes,  Poisson point processes,  extremes,  60G70,  60G15
@article{1253539863,
     author = {Kabluchko, Zakhar and Schlather, Martin and de Haan, Laurens},
     title = {Stationary max-stable fields associated to negative definite functions},
     journal = {Ann. Probab.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 2042-2065},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1253539863}
}
Kabluchko, Zakhar; Schlather, Martin; de Haan, Laurens. Stationary max-stable fields associated to negative definite functions. Ann. Probab., Tome 37 (2009) no. 1, pp.  2042-2065. http://gdmltest.u-ga.fr/item/1253539863/