Decomposability for stable processes

DOI10.1016/J.SPA.2011.11.007zbMATH Open1235.60050arXiv1105.1765OpenAlexW2050615563MaRDI QIDQ765892FDOQ765892

Yizao Wang, Parthanil Roy, Stilian Stoev

Publication date: 22 March 2012

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

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.

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

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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)

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Cited In (5)

• Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey
• 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
• Decomposition of discrete time periodically correlated and multivariate stationary symmetric stable processes

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