An equivalent representation of the Brown-Resnick process

DOI10.1016/j.spl.2011.03.010zbMath1234.60056MaRDI QIDQ553029

Martin Schlather, Sebastian Engelke, Zakhar Kabluchko

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.010

zbMATH Keywords

Brown-Resnick process; mixed moving maxima; Brownian motion with drift conditioned to stay negative

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

60J65: Brownian motion

60G52: Stable stochastic processes

Related Items

Statistical Inference for Max-Stable Processes by Conditioning on Extreme Events, Maxima of skew elliptical triangular arrays, A hierarchical max-stable spatial model for extreme precipitation, Extremes on river networks, Higher-order expansions of distributions of maxima in a Hüsler-Reiss model, Conditional sampling for max-stable processes with a mixed moving maxima representation, Extremes of \(q\)-Ornstein-Uhlenbeck processes, Generalized Pickands constants and stationary max-stable processes, Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes, Exact simulation of Brown-Resnick random fields at a finite number of locations, Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process

Cites Work

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