Max-semi-selfdecomposable laws and related processes (Q2497803)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Max-semi-selfdecomposable laws and related processes |
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Max-semi-selfdecomposable laws and related processes (English)
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4 August 2006
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The authors consider various connections between (\(\varphi\))-max-(semi)-stable and (max)-(semi)-selfdecomposable laws, and discuss their relationship to compound extremal processes. They further show that max-semi-selfdecomposable distributions correspond in a unique way to stationary distributions of max-AR(1) time series, which are AR(1) type models with a maximum structure rather than an additive structure. A similar characterisation for exponential max-semi-stable laws is also given.
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max-stability
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max-semi-stability
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max-selfdecomposability
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max-semi-self\-decomposability
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max-infinite divisibility
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semi-self\-decomposability
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extremal process
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Lévy process
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Laplace transform
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