On Extremal Index of max-stable stationary processes
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Publication:4578299
zbMath1393.60055arXiv1704.01563MaRDI QIDQ4578299
Krzysztof Dȩbicki, Enkelejd Hashorva
Publication date: 8 August 2018
Full work available at URL: https://arxiv.org/abs/1704.01563
Gaussian processLévy processextremal indexmax-stable processPickands constantBrown-Resnick stationaryM3 representationmean cluster index
Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)
Related Items (18)
Extremes of threshold-dependent Gaussian processes ⋮ The tail process revisited ⋮ On the continuity of Pickands constants ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ Approximation of sojourn times of Gaussian processes ⋮ Estimation of change-point models ⋮ The harmonic mean formula for random processes ⋮ Extremes on different grids and continuous time of stationary processes ⋮ Approximation of ruin probability and ruin time in discrete Brownian risk models ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Remarks on Pickands theorem ⋮ On extremal index of max-stable random fields ⋮ Approximation of supremum of max-stable stationary processes \& Pickands constants ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \) ⋮ Uniform tail approximation of homogenous functionals of Gaussian fields ⋮ Sample path properties of reflected Gaussian processes ⋮ Extremes of stationary random fields on a lattice
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