Stationary max-stable processes with the Markov property

DOI10.1016/J.SPA.2014.02.003MaRDI QIDQ402414zbMATH OpenOpenAlexFDO

Authors Frédéric Eyi-Minko, Clément Dombry

Publication date 28 August 2014

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

Full work available at URL https://arxiv.org/abs/1302.3041

zbMATH Keywords

Markov propertymax-autoregressive processesmax-stable processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order $1$. A similar statement is also proved for continuous time processes.

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Cites work

• A spectral representation for max-stable processes
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• An extremal markovian sequence
• Decomposability for stable processes
• Extremal behaviour of stationary Markov chains with applications
• Extremes and clustering of nonstationary max-AR(1) sequences
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Markov chain models for threshold exceedances
• Models for stationary max-stable random fields
• On stable Markov processes
• On the stationary distribution of some extremal Markovian sequences
• Regular conditional distributions of continuous max-infinitely divisible random fields
• Semi-min-stable processes
• Stationary max-stable fields associated to negative definite functions
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Cited in

(12)

• Argmax-stable marked empirical processes
• Representations of \(\max\)-stable processes via exponential tilting
• Geometric ergodicity for some space-time max-stable Markov chains
• A class of stationary Markov processes
• Four general multivariate stationary extremal Markovian processes
• A STOCHASTIC PROCESS THAT IS AUTOREGRESSIVE IN TWO DIRECTIONS OF TIME.
• Some new classes of stationary max-stable random fields
• On Extremal Index of max-stable stationary processes
• Space-time max-stable models with spectral separability
• Shift-invariant homogeneous classes of random fields
• Prediction of stationary max-stable processes
• Conditional independence among max-stable laws

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