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research article

A central limit theorem for functions of stationary max-stable random fields on R-d

Koch, Erwan  
•
Dombry, Clement
•
Robert, Christian Y.
September 1, 2019
Stochastic Processes And Their Applications

Max-stable random fields are very appropriate for the statistical modelling of spatial extremes. Hence, integrals of functions of max-stable random fields over a given region can play a key role in the assessment of the risk of natural disasters, meaning that it is relevant to improve our understanding of their probabilistic behaviour. For this purpose, in this paper, we propose a general central limit theorem for functions of stationary max-stable random fields on R-d. Then, we show that appropriate functions of the Brown-Resnick random field with a power variogram and of the Smith random field satisfy the central limit theorem. Another strong motivation for our work lies in the fact that central limit theorems for random fields on R-d have been barely considered in the literature. As an application, we briefly show the usefulness of our results in a risk assessment context. (C) 2018 Elsevier B.V. All rights reserved.

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Type
research article
DOI
10.1016/j.spa.2018.09.014
Web of Science ID

WOS:000482251600015

Author(s)
Koch, Erwan  
Dombry, Clement
Robert, Christian Y.
Date Issued

2019-09-01

Publisher

ELSEVIER

Published in
Stochastic Processes And Their Applications
Volume

129

Issue

9

Start page

3406

End page

3430

Subjects

Statistics & Probability

•

Mathematics

•

central limit theorem

•

max-stable random fields on r-d

•

mixing

•

risk assessment

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
September 6, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/160914
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