Stationary max-stable processes with the Markov property

被引：8

作者：

Dombry, Clement ^{[1
]}

Eyi-Minko, Frederic ^{[1
]}

机构：

[1] Univ Poitiers, Lab Math & Applicat, UMR CNRS 7348, F-86962 Futuroscope, France

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2014年 / 124卷 / 06期

关键词：

Max-stable process; Markov property; Max-autoregressive process; SEQUENCES; CHAIN;

D O I：

10.1016/j.spa.2014.02.003

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：

We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order 1. A similar statement is also proved for continuous time processes. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：2266 / 2279

页数：14

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