Max-stable processes and the functional D-norm revisited
Probability
2014-12-12 v4 Statistics Theory
Statistics Theory
Abstract
Aulbach et al. (2013) introduced a max-domain of attraction approach for extreme value theory in C[0,1] based on functional distribution functions, which is more general than the approach based on weak convergence in de Haan and Lin (2001). We characterize this new approach by decomposing a process into its univariate margins and its copula process. In particular, those processes with a polynomial rate of convergence towards a max-stable process are considered. Furthermore we investigate the concept of differentiability in distribution of a max-stable processes.
Cite
@article{arxiv.1303.2452,
title = {Max-stable processes and the functional D-norm revisited},
author = {Stefan Aulbach and Michael Falk and Martin Hofmann and Maximilian Zott},
journal= {arXiv preprint arXiv:1303.2452},
year = {2014}
}
Comments
22 pages