An equivalent representation of the Brown-Resnick process

DOI10.1016/j.spl.2011.03.010zbMath1234.60056OpenAlexW2106141914MaRDI QIDQ553029

Martin Schlather, Sebastian Engelke, Zakhar Kabluchko

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.010

zbMATH Keywords

Brown-Resnick processmixed moving maximaBrownian motion with drift conditioned to stay negative

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Stable stochastic processes (60G52)

Related Items (12)

Higher-order expansions of distributions of maxima in a Hüsler-Reiss model ⋮ Extremes of \(q\)-Ornstein-Uhlenbeck processes ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ The extremes of dependent chi-processes attracted by the Brown-Resnick process ⋮ Conditional sampling for max-stable processes with a mixed moving maxima representation ⋮ Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes ⋮ Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events ⋮ Maxima of skew elliptical triangular arrays ⋮ A hierarchical max-stable spatial model for extreme precipitation ⋮ Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process ⋮ Exact simulation of Brown-Resnick random fields at a finite number of locations ⋮ Extremes on river networks

Cites Work

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• Simulation of Brown-Resnick processes
• Stationary max-stable fields associated to negative definite functions
• Models for stationary max-stable random fields
• On spatial extremes: with application to a rainfall problem
• On the structure and representations of max-stable processes
• Extreme values of independent stochastic processes
• Markov functions

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