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research article
A characterization of the normal distribution using stationary max-stable processes
2016
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.
Type
research article
Web of Science ID
WOS:000368999000001
Authors
Publication date
2016
Publisher
Published in
Volume
19
Issue
1
Start page
1
End page
6
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
April 1, 2016
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