Marginal standardization of upper semicontinuous processes with application to MAX-stable processes

DOI10.1017/JPR.2017.34MaRDI QIDQ4684890zbMATH OpenOpenAlexFDO

Authors Anne Sabourin, Johan Segers

Publication date 26 September 2018

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.04194

zbMATH Keywords

copulaextreme value theoryMAX-stable processsemicontinuous process

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Sample path properties (60G17) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Extreme-value theory for random vectors and stochastic processes with continuous trajectories is usually formulated for random objects all of whose univariate marginal distributions are identical. In the spirit of Sklar's theorem from copula theory, such marginal standardization is carried out by the pointwise probability integral transform. Certain situations, however, call for stochastic models whose trajectories are not continuous but merely upper semicontinuous (usc). Unfortunately, the pointwise application of the probability integral transform to a usc process does in general not preserve the upper semicontinuity of the trajectories. In the present work, we give sufficient conditions for marginal standardization of usc processes to be possible, and we state a partial extension of Sklar's theorem for usc processes. We specialize the results to max-stable processes whose marginal distributions and normalizing sequences are allowed to vary with the coordinate.

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Cited in

(2)

• Extremal theory for long range dependent infinitely divisible processes
• Regular variation in Hilbert spaces and principal component analysis for functional extremes

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