Results 151 to 160 of about 1,128,515 (187)

Crossings of max-stable processes

Journal of Applied Probability, 1994
The expected number of upcrossings for a max-stable process is computed and compared with known results for stable processes. Asymptotically the formulas are of the same order.
Davis, Richard A., Resnick, Sidney I.
openaire   +2 more sources

Max-stable processes

2020
The first class of regularly varying time series we will investigate is the class of max-stable processes. These processes can be viewed as ideal models of heavy tailed time series.
Rafał Kulik, Philippe Soulier
openaire   +1 more source

Tukey max-stable processes for spatial extremes

Spatial Statistics, 2016
Abstract We propose a new type of max-stable process that we call the Tukey max-stable process for spatial extremes. It brings additional flexibility to modeling dependence structures among spatial extremes. The statistical properties of the Tukey max-stable process are demonstrated theoretically and numerically. Simulation studies and an application
Ganggang Xu, Marc G. Genton
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Max-infinitely divisible and max-stable sample continuous processes

Probability Theory and Related Fields, 1990
Conditions for a process \(\xi\) on a compact metric space \({\mathcal S}\) to be simultaneously max-infinitely divisible and sample continuous are obtained. Although they fall short of a complete characterization of such processes, these conditions yield complete descriptions of the sample continuous non-degerate max-stable processes on \({\mathcal S}\
Giné, Evarist   +2 more
openaire   +1 more source

Max-stable processes

2013
Environmental problems such as floods require statistical analysis that takes into account the complex nature of the data, namely observations are sampled at different spatial points in a given region for a certain time. Thus the spatial dependence structure cannot be ignored.
openaire   +1 more source

Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes

Extremes, 2005
The paper is devoted to construction of extremal stochastic integrals by random \(\alpha\)-Fréchet sup-measures and investigation of their properties, specially, connections with \(\alpha\)-stable integrals. A r.v. \(\xi\) has \(\alpha\)-Fréchet distribution \(F(\alpha,\sigma)\) if \(P\{\xi\leq x\}=\exp(-\sigma^\alpha x^{-\alpha})\), \(x>0\).
Stoev, Stilian A., Taqqu, Murad S.
openaire   +1 more source

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