On the structure and representations of max-stable processes

DOI10.1239/AAP/1282924066zbMATH Open1210.60053arXiv0903.3594OpenAlexW2963226755MaRDI QIDQ3059699FDOQ3059699

Stilian Stoev, Yizao Wang

Publication date: 26 November 2010

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: We develop classification results for max--stable processes, based on their spectral representations. The structure of max--linear isometries and minimal spectral representations play important roles. We propose a general classification strategy for measurable max--stable processes based on the notion of co--spectral functions. In particular, we discuss the spectrally continuous--discrete, the conservative--dissipative, and positive--null decompositions. For stationary max--stable processes, the latter two decompositions arise from connections to non--singular flows and are closely related to the classification of stationary sum--stable processes. The interplay between the introduced decompositions of max--stable processes is further explored. As an example, the Brown-Resnick stationary processes, driven by fractional Brownian motions, are shown to be dissipative. A result on general Gaussian processes with stationary increments and continuous paths is obtained.

Full work available at URL: https://arxiv.org/abs/0903.3594

zbMATH Keywords

classificationmax-stable processspectral representationnonsingular flowco-spectral functionmax-linear isometry

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Stable stochastic processes (60G52)

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Cited In (35)

• Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events
• Exchangeable random partitions from max-infinitely-divisible distributions
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