A characterization of the normal distribution using stationary max-stable processes
Probability
2015-12-09 v2
Abstract
Consider the max-stable process , , where are points of the Poisson process with intensity on , , , are independent copies of a random -variate vector (that are independent of the Poisson process), and is a function. We show that the process is stationary if and only if has multivariate normal distribution and is the cumulant generating function of . In this case, is a max-stable process introduced by R. L. Smith.
Keywords
Cite
@article{arxiv.1508.04266,
title = {A characterization of the normal distribution using stationary max-stable processes},
author = {Sebastian Engelke and Zakhar Kabluchko},
journal= {arXiv preprint arXiv:1508.04266},
year = {2015}
}