Free extreme values

被引：20
|
作者：
Ben Arous, Gerard
Voiculescu, Dan Virgil
机构：
[1] NYU, Courant Inst Math Sci, New York, NY 10012 USA
[2] Univ Calif Berkeley, Dept Math, Berkeley, CA 94720 USA
来源：
ANNALS OF PROBABILITY | 2006年 / 34卷 / 05期
关键词：
free max-stable laws; free extremal process; generalized Pareto laws; ando spectral order;
D O I：
10.1214/009117906000000016
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：
Free probability analogs of the basics of extreme-value theory are obtained, based on Ando's spectral order. This includes classification of freely max-stable laws and their domains of attraction, using "free extremal convolutions" on the distributions. These laws coincide with the limit laws in the classical peaks-over-threshold approach. A free extremal projection-valued process over a measure-space is constructed, which is related to the free Poisson point process.
引用
收藏
页码：2037 / 2059
页数：23
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