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
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