An equivalent representation of the Brown-Resnick process

DOI10.1016/J.SPL.2011.03.010MaRDI QIDQ553029zbMATH OpenOpenAlexFDO

Authors Sebastian Engelke, Zakhar Kabluchko, M. Schlather

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)

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Cites work

• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• Extreme values of independent stochastic processes
• Markov 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
• Simulation of Brown-Resnick processes
• Stationary max-stable fields associated to negative definite functions

Cited in

(21)

• Brown-Resnick processes: analysis, inference and generalizations
• Spectral representations of sum- and max-stable processes
• Representations of \(\max\)-stable processes via exponential tilting
• Generalized Pickands constants and stationary max-stable processes
• Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes
• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• Statistical inference for max-stable processes by conditioning on extreme events
• Simulation of max-stable processes
• Extremes of \(q\)-Ornstein-Uhlenbeck processes
• Exact simulation of Brown-Resnick random fields at a finite number of locations
• The extremes of dependent chi-processes attracted by the Brown-Resnick process
• A hierarchical max-stable spatial model for extreme precipitation
• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Conditional sampling for max-stable processes with a mixed moving maxima representation
• Maxima of skew elliptical triangular arrays
• Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes
• Equivalent representations of max-stable processes via \(\ell^p\)-norms
• Extremes on river networks
• Simulation of Brown-Resnick processes
• A spectral representation for max-stable processes
• Max-stable processes and stationary systems of Lévy particles

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