On the ergodicity and mixing of max-stable processes

DOI10.1016/j.spa.2007.10.013zbMath1184.60013OpenAlexW2108480007MaRDI QIDQ947157

Stilian A. Stoev

Publication date: 29 September 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.10.013

zbMATH Keywords

dependence functionergodicitymixingspectral representationmax-stable processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Random measures (60G57) Stable stochastic processes (60G52)

Related Items

Ergodic decompositions of stationary max-stable processes in terms of their spectral functions ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ Extremes of \(q\)-Ornstein-Uhlenbeck processes ⋮ Generalized Pickands constants and stationary max-stable processes ⋮ Spectral representations of sum- and max-stable processes ⋮ Ergodic properties of sum- and max-stable stationary random fields via null and positive group actions ⋮ Extremal shot noises, heavy tails and max-stable random fields ⋮ Functional limit theorems for sums of independent geometric Lévy processes ⋮ Measures of serial extremal dependence and their estimation ⋮ A generalization of Matérn hard-core processes with applications to max-stable processes ⋮ CRPS M-estimation for max-stable models ⋮ Max-stable processes and stationary systems of Lévy particles ⋮ Maxima of stable random fields, nonsingular actions and finitely generated abelian groups: a survey ⋮ A family of random sup-measures with long-range dependence ⋮ Ergodic properties of max-infinitely divisible processes ⋮ On the association of sum- and max-stable processes ⋮ On Extremal Index of max-stable stationary processes ⋮ Capturing the multivariate extremal index: bounds and interconnections ⋮ On the structure and representations of max-stable processes ⋮ Stochastic integral representations and classification of sum- and max-infinitely divisible processes ⋮ Maxima of long memory stationary symmetric \(\alpha\)-stable processes, and self-similar processes with stationary max-increments ⋮ Stable random fields indexed by finitely generated free groups ⋮ Stationary max-stable fields associated to negative definite functions ⋮ Long range dependence for stable random processes ⋮ Probabilities of Concurrent Extremes ⋮ An exceptional max-stable process fully parameterized by its extremal coefficients ⋮ Tail correlation functions of max-stable processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the isometries of certain function-spaces
• Random usc functions, max-stable processes and continuous choice
• Stationary min-stable stochastic processes
• A spectral representation for max-stable processes
• Ergodic properties of stationary stable processes
• On the spectral representation of symmetric stable processes
• Sample and ergodic properties of some min-stable processes
• Stationary self-similar extremal processes
• max-infinitely divisible and max-stable sample continuous processes
• Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
• Max-infinite divisibility
• Extreme values of independent stochastic processes
• Extreme Values in Finance, Telecommunications, and the Environment
• Heavy-Tail Phenomena
• Measurable choice of limit points and the existence of separable and measurable processes