Multivariate Max-Stable Processes and Homogeneous Functionals

2021/02/12 by Hashorva, Enkelejd, Kume, Alfred · 1 citation
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2102.06736

Abstract

Multivariate max-stable processes are important for both theoretical investigations and various statistical applications motivated by the fact that these are limiting processes, for instance of stationary multivariate regularly varying time series, [1]. In this contribution we explore the relation between homogeneous functionals and multivariate max-stable processes and discuss the connections between multivariate max-stable process and zonoid / max-zonoid equivalence. We illustrate our results considering Brown-Resnick and Smith processes.

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• Shift-generated α-homogeneous classes of jointly measurable random fields

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