Extremes of independent stochastic processes: a point process approach

DOI10.1007/S10687-016-0243-7zbMATH Open1339.60061arXiv1109.6209OpenAlexW1605292705MaRDI QIDQ291403FDOQ291403

Authors: Frédéric Eyi-Minko, Clément Dombry 

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: For each $ngeq1$, let $X_{in},quadigeq1$ be independent copies of a nonnegative continuous stochastic process $X_n=(X_n(t){)}_{tinT}$ indexed by a compact metric space $T$. We are interested in the process of partial maxima [ ilde M_n(u,t) =max {X_{in}(t), 1 leq ileq [nu]},quad ugeq 0, tin T.] where the brackets $[,cdot,]$ denote the integer part. Under a regular variation condition on the sequence of processes $X_n$, we prove that the partial maxima process $ilde{M}_n$ weakly converges to a superextremal process $ildeM$ as $noinfty$. We use a point process approach based on the convergence of empirical measures. Properties of the limit process are investigated: we characterize its finite-dimensional distributions, prove that it satisfies an homogeneous Markov property, and show in some cases that it is max-stable and self-similar. Convergence of further order statistics is also considered. We illustrate our results on the class of log-normal processes in connection with some recent results on the extremes of Gaussian processes established by Kabluchko.

Full work available at URL: https://arxiv.org/abs/1109.6209

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zbMATH Keywords

extreme value theoryGaussian processpoint processweak convergenceself-similarityfunctional regular variationspartial maxima processsuperextremal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

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Cited In (13)

• Super-extremal processes and the argmax process
• A note on vague convergence of measures
• Hidden regular variation for point processes and the single/multiple large point heuristic
• Representations of \(\max\)-stable processes via exponential tilting
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• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Marginal standardization of upper semicontinuous processes with application to MAX-stable processes

Uses Software

• GAUSSIAN

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