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research article

Geometric ergodicity for some space-time max-stable Markov chains

Koch, Erwan  
•
Robert, Christian Y.
February 1, 2019
Statistics & Probability Letters

Max-stable processes are central models for spatial extremes. In this paper, we focus on some space-time max-stable models introduced in Embrechts et al. (2016). The processes considered induce discrete-time Markov chains taking values in the space of continuous functions from the unit sphere of R-3 to (0, infinity). We show that these Markov chains are geometrically ergodic. An interesting feature lies in the fact that the state space is not locally compact, making the classical methodology inapplicable. Instead, we use the fact that the state space is Polish and apply results presented in Hairer (2010). (C) 2018 Elsevier B.V. All rights reserved.

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Type
research article
DOI
10.1016/j.spl.2018.06.014
Web of Science ID

WOS:000454976100006

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

2019-02-01

Publisher

ELSEVIER SCIENCE BV

Published in
Statistics & Probability Letters
Volume

145

Start page

43

End page

49

Subjects

Statistics & Probability

•

Mathematics

•

geometric ergodicity

•

markov chains with non locally compact state space

•

space-time max-stable processes on a sphere

•

spectral separability

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
January 23, 2019
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/153951
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