Time-changed extremal process as a random sup measure

DOI10.3150/15-BEJ717zbMath1346.60070arXiv1410.2491OpenAlexW3102489806MaRDI QIDQ726725

Gennady Samorodnitsky, Céline Lacaux

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.2491

zbMATH Keywords

heavy tailsfunctional limit theoremstable processself-similar processextremal processrandom sup measurestationary max-increments

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Markov processes (60J99)

Related Items (12)

Choquet random sup-measures with aggregations ⋮ The tail process and tail measure of continuous time regularly varying stochastic processes ⋮ Limit theorems for conservative flows on multiple stochastic integrals ⋮ A functional non-central limit theorem for multiple-stable processes with long-range dependence ⋮ A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence ⋮ Extreme value theory for long-range-dependent stable random fields ⋮ Representations of hermite processes using local time of intersecting stationary stable regenerative sets ⋮ A family of random sup-measures with long-range dependence ⋮ Limit theorems for long-memory flows on Wiener chaos ⋮ Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise ⋮ Extremal clustering under moderate long range dependence and moderately heavy tails ⋮ Extremal theory for long range dependent infinitely divisible processes

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