Approximation of supremum of max-stable stationary processes \& Pickands constants

DOI10.1007/S10959-018-00876-8zbMATH Open1462.60039arXiv1712.04243OpenAlexW3104409181MaRDI QIDQ2297332FDOQ2297332

Authors: Krzysztof Dȩbicki, Enkelejd Hashorva 

Publication date: 18 February 2020

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Let $X(t),tinmathbbR$ be a stochastically continuous stationary max-stable process with Fr'{e}chet marginals $Ph{i}_{a}lpha,alpha>0$ and set $M_X(T)=su{p}_{tin[0,T]}X(t),T>0$. In the light of the seminal articles [1,2], it follows that $A_T=M_X(T)/T^{1/alpha}$ converges in distribution as $Toinfty$ to $mathcal{H}_Z^{1/alpha}X(1)$, where $mathcal{H}_Z$ is the Pickands constant corresponding to the spectral process $Z$ of $X$. In this contribution we derive explicit formulas for $mathcal{H}_Z$ in terms of $Z$ and show necessary and sufficient conditions for its positivity. From our analysis it follows that $$ is uniformly integrable for any $$. Further, we discuss the dissipative Rosi'nski (or mixed moving maxima) representation of $X$. Additionally, for Brown-Resnick $X$ we show the validity of the celebrated Slepian inequality and obtain lower bounds on the growth of supremum of Gaussian processes with stationary increments by exploiting the link between Pickands constants and Wills functional. Moreover, we derive upper bounds for supremum of centered Gaussian processes given in terms of Wills functional, and discuss the relation between Pickands and Piterbarg constants.

Full work available at URL: https://arxiv.org/abs/1712.04243

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zbMATH Keywords

max-stable processPickands constantsGaussian processes with stationary incrementsspectral tail processPiterbarg constantsSlepian inequalitygrowth of supremumLévy processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

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Cited In (20)

• Estimates of the supremum of a class of stationary random processes
• Maxima of continuous-time stationary stable processes
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• Pickands-Piterbarg constants for self-similar Gaussian processes
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