Regular conditional distributions of continuous max-infinitely divisible random fields

DOI10.1214/EJP.V18-1991MaRDI QIDQ388841zbMATH OpenFDO

Authors Frédéric Eyi-Minko, Clément Dombry

Publication date 17 January 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.6492

zbMATH Keywords

MAX-infinitely divisible processMAX-stable processpoint process representationregular conditional distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Prediction theory (aspects of stochastic processes) (60G25)

Abstract: This paper is devoted to the prediction problem in extreme value theory. Our main result is an explicit expression of the regular conditional distribution of a max-stable (or max-infinitely divisible) process ${eta(t)}_{tinT}$ given observations $eta(t_i)=y_i,1leqileqk$. Our starting point is the point process representation of max-infinitely divisible processes by Gin'e, Hahn and Vatan (1990). We carefully analyze the structure of the underlying point process, introduce the notions of extremal function, sub-extremal function and hitting scenario associated to the constraints and derive the associated distributions. This allows us to explicit the conditional distribution as a mixture over all hitting scenarios compatible with the conditioning constraints. This formula extends a recent related result by Wang and Stoev (2011) dealing with the case of spectrally discrete max-stable random fields. We believe this work offers new tools and perspective for prediction in extreme value theory together with numerous potential applications.

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