Implicit max-stable extremal integrals

DOI10.1007/S10687-020-00388-XMaRDI QIDQ2028563zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 1 June 2021

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1908.06840

zbMATH Keywords

implicit max-stable distributionsimplicit max-stable processesindependently scattered random sup-measuresstochastic integrals

Mathematics Subject Classification ID

Random measures (60G57) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Recently, the notion of implicit extreme value distributions has been established, which is based on a given loss function $fge0$. From an application point of view, one is rather interested in extreme loss events that occur relative to $f$ than in the corresponding extreme values itself. In this context, so-called $f$-implicit $alpha$-Fr'{e}chet max-stable distributions arise and have been used to construct independently scattered sup-measures that possess such margins. In this paper we solve an open problem in [7] by developing a stochastic integral of a deterministic function $gge0$ with respect to implicit max-stable sup-measures. The resulting theory covers the construction of max-stable extremal integrals (see [14]) and, at the same time, reveals striking parallels.

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Cited in

(4)

• Implicit extremes and implicit max-stable laws
• Extremal problems with unstabilized integrands
• Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
• Shift-invariant homogeneous classes of random fields

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