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research article

Max-stable processes and stationary systems of Levy particles

Engelke, Sebastian  
•
Kabluchko, Zakhar
2015
Stochastic Processes And Their Applications

We study stationary max-stable processes {n(t): t is an element of R} admitting a representation of the form n(t) = max(i is an element of N) (U-i +Y-i(t)), where Sigma(infinity)(i=1) delta U-i is a Poisson point process on R with intensity e(-u)du, and Y1,Y2 are i.i.d. copies of a process {Y (t) : t is an element of R} obtained by running a Levy process for positive t and a dual Levy process for negative t. We give a general construction of such Levy-Brown-Resnick processes, where the restrictions of Y to the positive and negative half-axes are Levy processes with random birth and killing times. We show that these max-stable processes appear as limits of suitably normalized pointwise maxima of the form Mn(t) = max(i=1),...,n xi i (s(n) + t), where xi 1, xi 2... are i.i.d. Levy processes and sn is a sequence such that s(n) similar to clog n with c > 0. Also, we consider maxima of the form max(i=1),...,n Z(i) (t/log n), where Zi, Z2,... are i.i.d. Ornstein-Uhlenbeck processes driven by an alpha-stable noise with skewness parameter beta = -1. After a linear normalization, we again obtain limiting max-stable processes of the above form. This gives a generalization of the results of Brown and Resnick (1977) to the totally skewed a-stable case. (C) 2015 Elsevier B.V. All rights reserved.

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Type
research article
DOI
10.1016/j.spa.2015.07.001
Web of Science ID

WOS:000361255700011

Author(s)
Engelke, Sebastian  
Kabluchko, Zakhar
Date Issued

2015

Publisher

Elsevier

Published in
Stochastic Processes And Their Applications
Volume

125

Issue

11

Start page

4272

End page

4299

Subjects

Max-stable random process

•

Levy process

•

Extreme value theory

•

Poisson point process

•

Exponential intensity

•

Kuznetsov measure

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
December 2, 2015
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/121055
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