Ergodic decompositions of stationary max-stable processes in terms of their spectral functions

DOI10.1016/J.SPA.2016.10.001MaRDI QIDQ2359702zbMATH OpenOpenAlexFDO

Authors Clément Dombry, Zakhar Kabluchko

Publication date 22 June 2017

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

Full work available at URL https://arxiv.org/abs/1601.00792

zbMATH Keywords

conservative/dissipative decompositionde Haan representationergodic processmax-stable random processmixed moving maximum processmixing processnon-singular flowpositive/null decomposition

Mathematics Subject Classification ID

Dynamical systems involving one-parameter continuous families of measure-preserving transformations (37A10) Ergodicity, mixing, rates of mixing (37A25) Stationary stochastic processes (60G10) Stable stochastic processes (60G52) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We revisit conservative/dissipative and positive/null decompositions of stationary max-stable processes. Originally, both decompositions were defined in an abstract way based on the underlying non-singular flow representation. We provide simple criteria which allow to tell whether a given spectral function belongs to the conservative/dissipative or positive/null part of the de Haan spectral representation. Specifically, we prove that a spectral function is null-recurrent iff it converges to $0$ in the Ces`{a}ro sense. For processes with locally bounded sample paths we show that a spectral function is dissipative iff it converges to $0$. Surprisingly, for such processes a spectral function is integrable a.s. iff it converges to $0$ a.s. Based on these results, we provide new criteria for ergodicity, mixing, and existence of a mixed moving maximum representation of a stationary max-stable process in terms of its spectral functions. In particular, we study a decomposition of max-stable processes which characterizes the mixing property.

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Cited in

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