A characterization of the normal distribution using stationary max-stable processes

Consider a max-stable process of the form , , where are points of the Poisson process with intensity u (-2)du on (0,a), X (i) , , are independent copies of a random d-variate vector X (that are independent of the Poisson process), and is a function. We show that the process eta is stationary if and only if X has multivariate normal distribution and kappa(t)-kappa(0) is the cumulant generating function of X. In this case, eta is a max-stable process introduced by R. L. Smith.


Published in:
Extremes, 19, 1, 1-6
Year:
2016
Publisher:
New York, Springer Verlag
ISSN:
1386-1999
Keywords:
Laboratories:




 Record created 2016-04-01, last modified 2018-03-17


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