Characterizing extremal coefficient functions and extremal correlation functions

arXiv1205.1315MaRDI QIDQ6232829FDOQ6232829

Kirstin Strokorb, M. Schlather

Publication date: 7 May 2012

Abstract: We focus on two dependency quantities of a max-stable random field $X$ on some space $T$: the extremal coefficient function $heta$ which we define on finite sets of $T$ and the extremal correlation function $chi(s,t)=li{m}_{xuparrowinfty}PP(X_{s}geqxmid{X}_{t}geqx)$. We fully characterize extremal coefficient functions $heta$ by a property called complete alternation and construct a corresponding max-stable random field. Simple properties and consequences concerning the convex geometry of extremal coefficients are derived. We study how the continuity of $X$, $heta$ and $chi$ are linked to each other, and we show that extremal correlation functions $chi$ allow for convex combinations in general, and for products and pointwise limits if the resulting function is continuous. These are operations which are well-known for positive definite functions, but the latter are non-trivial for extremal correlation functions. Finally, we regard some additional implications, when the random field $X$ on $T=mathbb{R}^d$ is stationary.

Mathematics Subject Classification ID

Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Inequalities; stochastic orderings (60E15)

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