Extremal shot noises, heavy tails and max-stable random fields

DOI10.1007/S10687-011-0131-0zbMATH Open1329.60148arXiv0908.4221OpenAlexW2127244245MaRDI QIDQ906645FDOQ906645

Authors: Clément Dombry 

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: We consider the extremal shot noise defined by ${\displaystyle }$M(y)=sup{mh(y-x);(x,m)inPhi},${\displaystyle }$ where $Phi$ is a Poisson point process on $$ with intensity $lambdadxG(dm)$ and $$ is a measurable function. Extremal shot noises naturally appear in extreme value theory as a model for spatial extremes and serve as basic models for annual maxima of rainfall or for coverage field in telecommunications. In this work, we examine their properties such as boundedness, regularity and ergodicity. Connections with max-stable random fields are established: we prove a limit theorem when the distribution $G$ is heavy-tailed and the intensity of points $lambda$ goes to infinity. We use a point process approach strongly connected to the Peak Over Threshold method used in extreme value theory. Properties of the limit max-stable random fields are also investigated.

Full work available at URL: https://arxiv.org/abs/0908.4221

Recommendations

• scientific article; zbMATH DE number 2099474
• Some Limit Theorems for Extremal and Union Shot‐Noise Processes
• Extremes of Shot-Noise Fields in the Presence of Regularly Varying Tails
• Extremes for shot noise processes with heavy tailed amplitudes
• Maxima of subexponential shot-noise fields with finite radius of influence

zbMATH Keywords

heavy tailsextreme value theoryweak convergencepoint processesmax-stable random fieldsextremal shot noises

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Stationary max-stable fields associated to negative definite functions
• Models for stationary max-stable random fields
• Title not available (Why is that?)
• Title not available (Why is that?)
• An introduction to the theory of point processes
• A dependence measure for multivariate and spatial extreme values: Properties and inference
• Extremes and local dependence in stationary sequences
• Title not available (Why is that?)
• Random usc functions, max-stable processes and continuous choice
• max-infinitely divisible and max-stable sample continuous processes
• On convergence toward an extreme value distribution in \(C[0,1]\)
• Extreme value theory for space-time processes with heavy-tailed distributions
• Extremal behavior of regularly varying stochastic processes
• The behavior of multivariate maxima of moving maxima processes
• Ergodic properties of max-infinitely divisible processes
• Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
• Extremes of regularly varying Lévy-driven mixed moving average processes
• On the ergodicity and mixing of max-stable processes
• Rare events, temporal dependence, and the extremal index
• Some Limit Theorems for Extremal and Union Shot‐Noise Processes

Cited In (12)

• Extremal versus additive Matérn point processes
• On the perimeter of excursion sets of shot noise random fields
• On scaling limits of power law shot-noise fields
• Title not available (Why is that?)
• Extremes of Shot-Noise Fields in the Presence of Regularly Varying Tails
• Some Limit Theorems for Extremal and Union Shot‐Noise Processes
• Extremes of subexponential shot noise
• Functional limit theorems for Galton-Watson processes with very active immigration
• Weak convergence of continuous-state branching processes with large immigration
• Random tessellations associated with max-stable random fields
• Maxima of subexponential shot-noise fields with finite radius of influence
• Scaling limits for a random boxes model

This page was built for publication: Extremal shot noises, heavy tails and max-stable random fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q906645)