Decomposability for stable processes

DOI10.1016/J.SPA.2011.11.007MaRDI QIDQ765892zbMATH OpenOpenAlexFDO

Authors Yizao Wang, Stilian Stoev, Parthanil Roy

Publication date 22 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1765

zbMATH Keywords

decompositionmax-stable processminimal representationmixed moving averagesum-stable process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

Abstract: We characterize all possible independent symmetric alpha-stable (SaS) components of an SaS process, 0<alpha<2. In particular, we focus on stationary SaS processes and their independent stationary SaS components. We also develop a parallel characterization theory for max-stable processes.

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Cited in

(5)

• Decomposition of discrete time periodically correlated and multivariate stationary symmetric stable processes
• Decomposition of stationary \(\alpha\)-stable random fields.
• A note on self-decomposability of stable process subordinated to self-decomposable subordina\-tor
• Stationary max-stable processes with the Markov property
• Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey

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