Multivariate max-stable processes and homogeneous functionals

DOI10.1016/J.SPL.2021.109066MaRDI QIDQ2244507zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva, A. Kume

Publication date 12 November 2021

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

Full work available at URL https://arxiv.org/abs/2102.06736

zbMATH Keywords

Brown-Resnick processstationary processhomogeneous functionsmax-zonoid equivalencemultivariate max-stable processzonoid equivalence

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Multivariate max-stable processes are important for both theoretical investigations and various statistical applications motivated by the fact that these are limiting processes, for instance of stationary multivariate regularly varying time series, [1]. In this contribution we explore the relation between homogeneous functionals and multivariate max-stable processes and discuss the connections between multivariate max-stable process and zonoid / max-zonoid equivalence. We illustrate our results considering Brown-Resnick and Smith processes.

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Cited in

(10)

• A characterization of the normal distribution using stationary max-stable processes
• On max-stable processes and the functional D-norm
• Tail measures and regular variation
• It was 30 years ago today when Laurens de Haan went the multivariate way
• Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
• On approximating max-stable processes and constructing extremal copula functions
• Shift-invariant homogeneous classes of random fields
• On the association of sum- and max-stable processes
• On the distribution of a max-stable process conditional on max-linear functionals
• Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes

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