Characterization and construction of max-stable processes

zbMATH Open1291.60008MaRDI QIDQ5404869FDOQ5404869

Authors: Kirstin Strokorb 

Publication date: 28 March 2014

Full work available at URL: http://d-nb.info/1044739800/34

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Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Stable stochastic processes (60G52)

Cited In (13)

• \(t\)-copula from the viewpoint of tail dependence matrices
• An exceptional max-stable process fully parameterized by its extremal coefficients
• On the structure and representations of max-stable processes
• On approximating max-stable processes and constructing extremal copula functions
• On tail dependence matrices. The realization problem for parametric families
• On the distribution of a max-stable process conditional on max-linear functionals
• Random tessellations associated with max-stable random fields
• Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes
• A study of one-factor copula models from a tail dependence perspective
• Tail correlation functions of max-stable processes
• The realization problem for tail correlation functions
• Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
• Multivariate max-stable processes and homogeneous functionals

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