Stationary max-stable processes with the Markov property

被引：8
|
作者：
Dombry, Clement [1 ]
Eyi-Minko, Frederic [1 ]
机构：
[1] Univ Poitiers, Lab Math & Applicat, UMR CNRS 7348, F-86962 Futuroscope, France
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 06期
关键词：
Max-stable process; Markov property; Max-autoregressive process; SEQUENCES; CHAIN;
D O I：
10.1016/j.spa.2014.02.003
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order 1. A similar statement is also proved for continuous time processes. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：2266 / 2279
页数：14
相关论文
共 50 条
  • [31] Spatial risk measures for max-stable and max-mixture processes
    Ahmed, M.
    Maume-Deschamps, V
    Ribereau, P.
    Vial, C.
    STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2020, 92 (07) : 1005 - 1020
  • [32] Tail correlation functions of max-stable processes Construction principles, recovery and diversity of some mixing max-stable processes with identical TCF
    Strokorb, Kirstin
    Ballani, Felix
    Schlather, Martin
    EXTREMES, 2015, 18 (02) : 241 - 271
  • [33] STATIONARY MAX-STABLE FIELDS ASSOCIATED TO NEGATIVE DEFINITE FUNCTIONS
    Kabluchko, Zakhar
    Schlather, Martin
    de Haan, Laurens
    ANNALS OF PROBABILITY, 2009, 37 (05): : 2042 - 2065
  • [34] Some new classes of stationary max-stable random fields
    Robert, Christian Y.
    STATISTICS & PROBABILITY LETTERS, 2013, 83 (06) : 1496 - 1503
  • [35] On max-stable processes and the functional D-norm
    Stefan Aulbach
    Michael Falk
    Martin Hofmann
    Extremes, 2013, 16 : 255 - 283
  • [36] Representations of max-stable processes via exponential tilting
    Hashorva, Enkelejd
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2018, 128 (09) : 2952 - 2978
  • [37] Spectral representations of sum- and max-stable processes
    Kabluchko, Zakhar
    EXTREMES, 2009, 12 (04) : 401 - 424
  • [38] On max-stable processes and the functional D-norm
    Aulbach, Stefan
    Falk, Michael
    Hofmann, Martin
    EXTREMES, 2013, 16 (03) : 255 - 283
  • [39] Likelihood-Based Inference for Max-Stable Processes
    Padoan, S. A.
    Ribatet, M.
    Sisson, S. A.
    JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2010, 105 (489) : 263 - 277
  • [40] Efficient estimation and particle filter for max-stable processes
    Kunihama, Tsuyoshi
    Omori, Yasuhiro
    Zhang, Zhengjun
    JOURNAL OF TIME SERIES ANALYSIS, 2012, 33 (01) : 61 - 80
12345