Extreme value theory for space-time processes with heavy-tailed distributions
The authors study the asymptotic theory for point processes and extremes of filtered processes of the form \[ X_t(\mathbf s )=\sum_{i=0}^{\infty} \psi_i(\mathbf s)Z_{t-i}(\mathbf s), \, \mathbf s \in [0,1]^d, \] where \((Z_t)_{t \in \mathbb Z}\) is an iid sequence of regularly varying random fields on \([0,1]^d\) with values in the Skorokhod space \(\mathbb D([0,1]^d)\). The coefficients \(\psi_i\) are deterministic real valued fields. First, they apply the notion of regular variation on \(\mathbb D\) to max-stable fields and obtain a representation of a max-stable random field in terms of a homogeneous Poisson process and iid fields. Next, regular variation of linear combinations of random fields is studied and the obtained results are used for showing point process convergence of the scaled linear process \(X_t\) towards a compound Poisson process. Some examples and applications are given.
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- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Lévy-driven CARMA processes
- Models for stationary max-stable random fields
- On convergence toward an extreme value distribution in \(C[0,1]\)
- Point processes, regular variation and weak convergence
- Regular variation of GARCH processes.
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- Extremes of space-time Gaussian processes
- An invariance principle for sums and record times of regularly varying stationary sequences
- Implicit extremes and implicit max-stable laws
- Testing for changes in the tail behavior of Brown-Resnick Pareto processes
- Tail measures and regular variation
- Stable Lévy motion with values in the Skorokhod space: construction and approximation
- Regularly varying random fields
- Convex hulls of regularly varying processes
- Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
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- Regular conditional distributions of continuous max-infinitely divisible random fields
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- Regular variation in Hilbert spaces and principal component analysis for functional extremes
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- Extreme Quantile Estimation for Autoregressive Models
- Extremal shot noises, heavy tails and max-stable random fields
- Maxima of moving maxima of continuous functions
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