Multivariate Max-Stable Processes and Homogeneous Functionals
Probability
2021-02-16 v1 Statistics Theory
Statistics Theory
Abstract
Multivariate max-stable processes are important for both theoretical investigations and various statistical applications motivated by the fact that these are limiting processes, for instance of stationary multivariate regularly varying time series, [1]. In this contribution we explore the relation between homogeneous functionals and multivariate max-stable processes and discuss the connections between multivariate max-stable process and zonoid / max-zonoid equivalence. We illustrate our results considering Brown-Resnick and Smith processes.
Cite
@article{arxiv.2102.06736,
title = {Multivariate Max-Stable Processes and Homogeneous Functionals},
author = {Enkelejd Hashorva and Alfred Kume},
journal= {arXiv preprint arXiv:2102.06736},
year = {2021}
}