Free point processes and free extreme values

DOI10.1007/S00440-009-0204-ZMaRDI QIDQ2380765zbMATH OpenOpenAlexFDO

Authors Gerard Ben Arous, Vladislav Kargin

Publication date 12 April 2010

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0903.2672

zbMATH Keywords

extreme valuesfree point processesfree Poisson random measure

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Free probability and free operator algebras (46L54)

Abstract: We continue here the study of free extreme values begun in Ben Arous and Voiculescu (2006). We study the convergence of the free point processes associated with free extreme values to a free Poisson random measure (Voiculescu (1998), Barndorff-Nielsen and Thorbjornsen (2005)). We relate this convergence to the free extremal laws introduced in Ben Arous and Voiculescu (2006) and give the limit laws for free order statistics.

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Cited in

(7)

• Extreme points of coherent probabilities in finite spaces
• Free extreme values
• Extremes of independent stochastic processes: a point process approach
• Convergence of extreme values of Poisson point processes at small times
• Approximation of a free Poisson process by systems of freely independent particles
• The maximum domain of attraction of multivariate extreme value distributions is small
• Free subexponentiality

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