English

Stationary max-stable fields associated to negative definite functions

Probability 2009-09-25 v3

Abstract

Let Wi,iNW_i,i\in{\mathbb{N}}, be independent copies of a zero-mean Gaussian process {W(t),tRd}\{W(t),t\in{\mathbb{R}}^d\} with stationary increments and variance σ2(t)\sigma^2(t). Independently of WiW_i, let i=1δUi\sum_{i=1}^{\infty}\delta_{U_i} be a Poisson point process on the real line with intensity eydye^{-y} dy. We show that the law of the random family of functions {Vi(),iN}\{V_i(\cdot),i\in{\mathbb{N}}\}, where Vi(t)=Ui+Wi(t)σ2(t)/2V_i(t)=U_i+W_i(t)-\sigma^2(t)/2, is translation invariant. In particular, the process η(t)=i=1Vi(t)\eta(t)=\bigvee_{i=1}^{\infty}V_i(t) is a stationary max-stable process with standard Gumbel margins. The process η\eta arises as a limit of a suitably normalized and rescaled pointwise maximum of nn i.i.d. stationary Gaussian processes as nn\to\infty if and only if WW is a (nonisotropic) fractional Brownian motion on Rd{\mathbb{R}}^d. Under suitable conditions on WW, the process η\eta has a mixed moving maxima representation.

Keywords

Cite

@article{arxiv.0806.2780,
  title  = {Stationary max-stable fields associated to negative definite functions},
  author = {Zakhar Kabluchko and Martin Schlather and Laurens de Haan},
  journal= {arXiv preprint arXiv:0806.2780},
  year   = {2009}
}

Comments

Published in at http://dx.doi.org/10.1214/09-AOP455 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

R2 v1 2026-06-21T10:51:27.087Z