Max-stable processes and the functional D-norm revisited

被引：4

作者：

Aulbach, Stefan ^{[1
]}

Falk, Michael ^{[1
]}

Hofmann, Martin ^{[1
]}

Zott, Maximilian ^{[1
]}

机构：

[1] Univ Wurzburg, Inst Math, D-97074 Wurzburg, Germany

来源：

EXTREMES | 2015年 / 18卷 / 02期

关键词：

Max-stable process; D-norm; Functional max-domain of attraction; Copula process; Generalized Pareto process; delta-neighborhood of generalized Pareto process; Derivative of D-norm; Distributional differentiability; CONVERGENCE;

D O I：

10.1007/s10687-014-0210-0

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Aulbach et al. (Extremes 16, 255283, 2013) introduced a max-domain of attraction approach for extreme value theory in C[0,1] based on functional distribution functions, which is more general than the approach based on weak convergence in de Haan and Lin (Ann. Probab. 29, 467483, 2001). We characterize this new approach by decomposing a process into its univariate margins and its copula process. In particular, those processes with a polynomial rate of convergence towards a max-stable process are considered. Furthermore we investigate the concept of differentiability in distribution of a max-stable processes.

引用

页码：191 / 212

页数：22

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