A central limit theorem for functions of stationary max-stable random fields on R^d

DOI10.1016/J.SPA.2018.09.014MaRDI QIDQ2274304zbMATH OpenOpenAlexFDO

Authors Erwan Koch, Clément Dombry, C. Y. Robert

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.07152

zbMATH Keywords

central limit theoremmax-stable random fields on \(\mathbb{R}^d\)mixingrisk assessment

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random fields (60G60)

Abstract: Max-stable random fields are very appropriate for the statistical modelling of spatial extremes. Hence, integrals of functions of max-stable random fields over a given region can play a key role in the assessment of the risk of natural disasters, meaning that it is relevant to improve our understanding of their probabilistic behaviour. For this purpose, in this paper, we propose a general central limit theorem for functions of stationary max-stable random fields on $mathbb{R}^d$. Then, we show that appropriate functions of the Brown-Resnick random field with a power variogram and of the Smith random field satisfy the central limit theorem. Another strong motivation for our work lies in the fact that central limit theorems for random fields on $mathbb{R}^d$ have been barely considered in the literature. As an application, we briefly show the usefulness of our results in a risk assessment context.

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Cited in

(5)

• Some new classes of stationary max-stable random fields
• An extension of almost sure central limit theorem for the maximum of stationary Gaussian random fields
• Spatial risk measures for max-stable and max-mixture processes
• A crossinggram for random fields on lattices
• Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses

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