On generalized max-linear models in max-stable random fields

DOI10.1017/JPR.2017.35MaRDI QIDQ4684891zbMATH OpenOpenAlexFDO

Authors Michael Falk, Maximilian Zott

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/1703.03472

zbMATH Keywords

max-linear modelmultivariate extreme value distributionmax-stable random fieldstochastic interpolation\(D\)-norm

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: In practice, it is not possible to observe a whole max-stable random field. Therefore, a way how to reconstruct a max-stable random field in $Cleft([0,1{]}^{k}ight)$ by interpolating its realizations at finitely many points is proposed. The resulting interpolating process is again a max-stable random field. This approach uses a emph{generalized max-linear model}. Promising results have been established in the case $k=1$ in a previous paper. However, the extension to higher dimensions is not straightforward since we lose the natural order of the index space.

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Cited in

(6)

• Some new classes of stationary max-stable random fields
• Recursive max-linear models with propagating noise
• Max-linear models in random environment
• Stochastic derivative estimation for max-stable random fields
• On generalized max-linear models and their statistical interpolation
• Models for stationary max-stable random fields

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