Stationary max-stable processes with the Markov property
Probability
2013-11-13 v2
Abstract
We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order . A similar statement is also proved for continuous time processes.
Keywords
Cite
@article{arxiv.1302.3041,
title = {Stationary max-stable processes with the Markov property},
author = {Clément Dombry and Frédéric Eyi-Minko},
journal= {arXiv preprint arXiv:1302.3041},
year = {2013}
}