Extreme value theory for long-range-dependent stable random fields
From MaRDI portal
Publication:2209306
Abstract: We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of several variables. The limits in both types of theorems are of a new kind, and only in a certain range of parameters these limits have the Fr'{e}chet distribution.
The authors introduce a class of symmetric stable random fields with long-range dependence. These are of the form \(\mathbf{X(n)}=\int_{E}f\circ T^{\mathbf{n}}(x)M(d\mathbf{x})\), \(\mathbf{n}\in \mathbb Z^{d}\), where \(T\) is a shift operator and \(M\) is a random measure with control measure \(\mu \) which satisfies among others some regularly varying conditions. The authors prove several functional extremal theorems in the space of sup measures and in the space of multivariate càdlàg functions. The resulting limits seem to be new and are related to the Fréchet distribution.
Recommendations
Cites work
- An introduction to statistical modeling of extreme values
- Decomposition of stationary \(\alpha\)-stable random fields.
- Extremal theory for long range dependent infinitely divisible processes
- Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
- Extreme value theory. An introduction.
- Extremes and related properties of random sequences and processes
- Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
- Group-theoretic dimension of stationary symmetric \(\alpha\)-stable random fields
- Growth rates of sample covariances of stationary symmetric \(\alpha \)-stable processes associated with null recurrent Markov chains
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1223602 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1027990 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- scientific article; zbMATH DE number 3403545 (Why is no real title available?)
- Limit theory for the sample autocovariance for heavy-tailed stationary infinitely divisible processes generated by conservative flows
- Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
- On the Convergence of Closed-Valued Measurables Multifunctions
- On Vervaat's sup vague topology
- Stable random fields indexed by finitely generated free groups
- Stationary regenerative sets and subordinators
- Stationary self-similar extremal processes
- Stationary symmetric \(\alpha\)-stable discrete parameter random fields
- Stochastic processes and long range dependence
- Sur la distribution limite du terme maximum d'une série aléatoire
- Theory of Random Sets
- Time-changed extremal process as a random sup measure
Cited in
(11)- Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
- Limit theorems for conservative flows on multiple stochastic integrals
- Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
- Extremal theory for long range dependent infinitely divisible processes
- Scaling limits for random fields with long-range dependence
- Extreme value theory for space-time processes with heavy-tailed distributions
- scientific article; zbMATH DE number 1223602 (Why is no real title available?)
- Long range dependence of heavy-tailed random functions
- Asymptotic dependence of moving average type self-similar stable random Fields
- Stable laws arising from hitting distributions of processes on homogeneous trees and the hyperbolic half-plane.
- A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence
This page was built for publication: Extreme value theory for long-range-dependent stable random fields
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2209306)
