Stochastic integral representations and classification of sum- and max-infinitely divisible processes
Abstract
Introduced is the notion of minimality for spectral representations of sum- and max-infinitely divisible processes and it is shown that the minimal spectral representation on a Borel space exists and is unique. This fact is used to show that a stationary, stochastically continuous, sum- or max-i.d. random process on can be generated by a measure-preserving flow on a -finite Borel measure space and that this flow is unique. This development makes it possible to extend the classification program of Rosi\'{n}ski (Ann. Probab. 23 (1995) 1163-1187) with a unified treatment of both sum- and max-infinitely divisible processes. As a particular case, a characterization of stationary, stochastically continuous, union-infinitely divisible random measurable subsets of is obtained. Introduced and classified are several new max-i.d. random field models including fields of Penrose type and fields associated to Poisson line processes.
Cite
@article{arxiv.1207.4983,
title = {Stochastic integral representations and classification of sum- and max-infinitely divisible processes},
author = {Zakhar Kabluchko and Stilian Stoev},
journal= {arXiv preprint arXiv:1207.4983},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.3150/14-BEJ624 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)