Stationary max-stable fields associated to negative definite functions
Abstract
Let , be independent copies of a zero-mean Gaussian process with stationary increments and variance . Independently of , let be a Poisson point process on the real line with intensity . We show that the law of the random family of functions , where , is translation invariant. In particular, the process is a stationary max-stable process with standard Gumbel margins. The process arises as a limit of a suitably normalized and rescaled pointwise maximum of i.i.d. stationary Gaussian processes as if and only if is a (nonisotropic) fractional Brownian motion on . Under suitable conditions on , the process has a mixed moving maxima representation.
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)