On Berman functions

DOI10.1007/S11009-023-10059-6arXiv2211.05076OpenAlexW4390609279MaRDI QIDQ6204675FDOQ6204675

Authors: Krzysztof Dȩbicki, Enkelejd Hashorva, Zbigniew Michna 

Publication date: 2 April 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: For fractional Brownian motion with Hurst parameter H the Berman constant is defined. In this paper we consider a general random field (rf) Z that is a spectral rf of some stationary max-stable rf X and derive the properties of the corresponding Berman functions. In particular, we show that Berman functions can be approximated by the corresponding discrete ones and derive interesting representations of those functions which are of interest for Monte Carlo simulations, which are presented in this article.

Full work available at URL: https://arxiv.org/abs/2211.05076

zbMATH Keywords

simulationsPickands constantsmax-stable random fieldsBerman functions

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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