English

Strong mixing properties of max-infinitely divisible random fields

Probability 2012-01-24 v1

Abstract

Let η=(η(t))tT\eta=(\eta(t))_{t\in T} be a sample continuous max-infinitely random field on a locally compact metric space TT. For a closed subset STS\in T, we note ηS\eta_{S} the restriction of η\eta to SS. We consider β(S1,S2)\beta(S_1,S_2) the absolute regularity coefficient between ηS1\eta_{S_1} and ηS2\eta_{S_2}, where S1,S2S_1,S_2 are two disjoint closed subsets of TT. Our main result is a simple upper bound for β(S1,S2)\beta(S_1,S_2) involving the exponent measure μ\mu of η\eta: we prove that β(S1,S2)2\bbP[η̸<S1f, η̸<S2f]μ(df)\beta(S_1,S_2)\leq 2\int \bbP[\eta\not<_{S_1} f,\ \eta\not <_{S_2} f]\,\mu(df), where f̸<Sgf\not<_{S} g means that there exists sSs\in S such that f(s)g(s)f(s)\geq g(s). If η\eta is a simple max-stable random field, the upper bound is related to the so-called extremal coefficients: for countable disjoint sets S1S_1 and S2S_2, we obtain β(S1,S2)4(s1,s2)S1×S2(2θ(s1,s2))\beta(S_1,S_2)\leq 4\sum_{(s_1,s_2)\in S_1\times S_2}(2-\theta(s_1,s_2)), where θ(s1,s2)\theta(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 \bbZd\bbZ^d. In the stationary max-stable case, we derive the asymptotic normality of three simple estimators of the pair extremal coefficient.

Keywords

Cite

@article{arxiv.1201.4645,
  title  = {Strong mixing properties of max-infinitely divisible random fields},
  author = {Clément Dombry and Frédéric Eyi-Minko},
  journal= {arXiv preprint arXiv:1201.4645},
  year   = {2012}
}

Comments

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R2 v1 2026-06-21T20:08:16.511Z