English

A characterization of the normal distribution using stationary max-stable processes

Probability 2015-12-09 v2

Abstract

Consider the max-stable process η(t)=maxiNUieXi,tκ(t)\eta(t) = \max_{i\in\mathbb N} U_i \rm{e}^{\langle X_i, t\rangle - \kappa(t)}, tRdt\in\mathbb{R}^d, where {Ui,iN}\{U_i, i\in\mathbb{N}\} are points of the Poisson process with intensity u2duu^{-2}\rm{d} u on (0,)(0,\infty), XiX_i, iNi\in\mathbb{N}, are independent copies of a random dd-variate vector XX (that are independent of the Poisson process), and κ:RdR\kappa: \mathbb{R}^d \to \mathbb{R} is a function. We show that the process η\eta is stationary if and only if XX has multivariate normal distribution and κ(t)κ(0)\kappa(t)-\kappa(0) is the cumulant generating function of XX. In this case, η\eta 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}
}
R2 v1 2026-06-22T10:35:54.827Z