On Extremal Index of max-stable stationary processes

zbMath1393.60055arXiv1704.01563MaRDI QIDQ4578299

Krzysztof Dȩbicki, Enkelejd Hashorva

Publication date: 8 August 2018

Full work available at URL: https://arxiv.org/abs/1704.01563

zbMATH Keywords

Gaussian processLévy processextremal indexmax-stable processPickands constantBrown-Resnick stationaryM3 representationmean cluster index

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items

Extremes of threshold-dependent Gaussian processes, The tail process revisited, On the continuity of Pickands constants, Representations of \(\max\)-stable processes via exponential tilting, Pickands-Piterbarg constants for self-similar Gaussian processes, Approximation of sojourn times of Gaussian processes, Estimation of change-point models, The harmonic mean formula for random processes, Extremes on different grids and continuous time of stationary processes, Approximation of ruin probability and ruin time in discrete Brownian risk models, Simultaneous ruin probability for two-dimensional brownian risk model, Remarks on Pickands theorem, On extremal index of max-stable random fields, Approximation of supremum of max-stable stationary processes \& Pickands constants, Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \), Uniform tail approximation of homogenous functionals of Gaussian fields, Sample path properties of reflected Gaussian processes, Extremes of stationary random fields on a lattice

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