Strong mixing properties of max-infinitely divisible random fields

DOI10.1016/J.SPA.2012.06.013MaRDI QIDQ454868zbMATHOpenAlexFDO

Authors Frédéric Eyi-Minko, Clément Dombry

Publication date 10 October 2012

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

Full work available at URL https://arxiv.org/abs/1201.4645

zbMATH Keywords

central limit theoremextremal indexstrong mixingAbsolute regularity coefficientextremal point processmax-infinitely divisible random fieldmax-stable random fieldweakly dependent random field

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Ergodicity, mixing, rates of mixing (37A25)

Abstract: Let $eta=(eta(t){)}_{tinT}$ be a sample continuous max-infinitely random field on a locally compact metric space $T$. For a closed subset $SinT$, we note $et{a}_S$ the restriction of $eta$ to $S$. We consider $$ the absolute regularity coefficient between $et{a}_{S_1}$ and $et{a}_{S_2}$, where $S_1,S_2$ are two disjoint closed subsets of $T$. Our main result is a simple upper bound for $$ involving the exponent measure $mu$ of $eta$: we prove that $$, where $fot{<}_{S}g$ means that there exists $sinS$ such that $f(s)geqg(s)$. If $eta$ is a simple max-stable random field, the upper bound is related to the so-called extremal coefficients: for countable disjoint sets $S_1$ and $S_2$, we obtain $$, where $heta(s_1,s_2)$ is the pair extremal coefficient. As an application, we show that these new estimates entail a central limit theorem for stationary max-infinitely divisible random fields on $$. In the stationary max-stable case, we derive the asymptotic normality of three simple estimators of the pair extremal coefficient.

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Cited in

(16)

• Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
• Equivalent representations of max-stable processes via \(\ell^p\)-norms
• Surface area and volume of excursion sets observed on point cloud based polytopic tessellations
• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• Asymptotic properties of the empirical spatial extremogram
• Anisotropic Brown-Resnick space-time processes: estimation and model assessment
• A Fourier analysis of extreme events
• Measures of serial extremal dependence and their estimation
• A comparative tour through the simulation algorithms for max-stable processes
• Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators
• A central limit theorem for functions of stationary max-stable random fields on \(\mathbb{R}^d\)
• Exact simulation of continuous max-id processes with applications to exchangeable max-id sequences
• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• Mixing properties of multivariate infinitely divisible random fields
• Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis

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