Extremal theory for long range dependent infinitely divisible processes

DOI10.1214/18-AOP1318MaRDI QIDQ2327952zbMATH OpenOpenAlexWikidataFDO

Authors Gennady Samorodnitsky, Yizao Wang

Publication date 8 October 2019

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1703.07496, https://projecteuclid.org/euclid.aop/1562205715

zbMATH Keywords

extreme value theorylong range dependencerandom sup-measurerandom upper semicontinuous functionstable regenerative setstationary infinitely divisible processweak convergence

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Random measures (60G57) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one regime, our results exhibit limits that are not among the classical extreme value distributions. Restricted to the one-dimensional case, the distributions we obtain interpolate, in the appropriate parameter range, the $alpha$-Fr'echet distribution and the skewed $alpha$-stable distribution. In general, the limit is a new family of stationary and self-similar random sup-measures with parameters $alphain(0,infty)$ and $$, with representations based on intersections of independent $$-stable regenerative sets. The tail of the limit random sup-measure on each interval with finite positive length is regularly varying with index $-alpha$. The intriguing structure of these random sup-measures is due to intersections of independent $$-stable regenerative sets and the fact that the number of such sets intersecting simultaneously increases to infinity as $$ increases to one. The results in this paper extend substantially previous investigations where only $alphain(0,2)$ and $$ have been considered.

Recommendations

• Extreme value theory for long-range-dependent stable random fields
• Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
• A family of random sup-measures with long-range dependence
• Time-changed extremal process as a random sup measure
• Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments

Cites work

• A spectral representation for max-stable processes
• Classes of mixing stable processes
• Comparing Fréchet and positive stable laws
• Distributions of subadditive functionals of sample paths of infinitely divisible processes
• Extremal Processes
• Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable 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 a class of negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows
• Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
• Growth rates of sample covariances of stationary symmetric \(\alpha \)-stable processes associated with null recurrent Markov chains
• scientific article; zbMATH DE number 3942642 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 48233 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1047687 (Why is no real title available?)
• scientific article; zbMATH DE number 1418383 (Why is no real title available?)
• Intersection of independent regenerative sets
• Intersections and limits of regenerative sets
• Intersections of Markov random sets
• Introductory lectures on fluctuations of Lévy processes with applications.
• Limit distributions for the maxima of stationary Gaussian processes
• Limit Theorems for the Maximum Term in Stationary Sequences
• Limit theory for the sample autocovariance for heavy-tailed stationary infinitely divisible processes generated by conservative flows
• Marginal standardization of upper semicontinuous processes with application to MAX-stable processes
• Max-stable random sup-measures with comonotonic tail dependence
• Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
• Null flows, positive flows and the structure of stationary symmetric stable processes
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• On Extreme Order Statistics
• On the Convergence in Distribution of Measurable Multifunctions (Random Sets) Normal Integrands, Stochastic Processes and Stochastic Infima
• On the Convergence of Closed-Valued Measurables Multifunctions
• On the structure of stationary stable processes
• One-sided local large deviation and renewal theorems in the case of infinite mean
• Random polymer models.
• Spectral representations of sum- and max-stable processes
• Stationary self-similar extremal processes
• Stochastic integral representations and classification of sum- and max-infinitely divisible processes
• 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

(22)

• On the supremum of an infinitely divisible process
• Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
• Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
• Extremal clustering under moderate long range dependence and moderately heavy tails
• Choquet random sup-measures with aggregations
• Limit theorems for conservative flows on multiple stochastic integrals
• Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
• Convergence of persistence diagrams for topological crackle
• A functional non-central limit theorem for multiple-stable processes with long-range dependence
• Extreme value theory for long-range-dependent stable random fields
• Limit theorems for long-memory flows on Wiener chaos
• Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments
• Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
• Representations of Hermite processes using local time of intersecting stationary stable regenerative sets
• Long range dependence of heavy-tailed random functions
• A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence
• Regular variation in Hilbert spaces and principal component analysis for functional extremes
• Joint sum-and-max limit for a class of long-range dependent processes with heavy tails
• Phase transition for extremes of a family of stationary multiple-stable processes
• Tail processes for stable-regenerative multiple-stable model
• Multiple extremal integrals
• A remarkable example on clustering of extremes for regularly-varying stochastic processes

This page was built for publication: Extremal theory for long range dependent infinitely divisible processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2327952)