(G, λ)-Extremal Processes and Their Relationship with Max-Stable Processes
| Data(s) |
23/01/2014
23/01/2014
2007
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|---|---|
| Resumo |
2000 Mathematics Subject Classification: 60G70, 60G18. The study of G-extremal processes was initiated by S. Resnick and M. Rubinovich (1973). Here we transform these processes by a non-decreasing and right-continuous function λ : [0, ∞) → [0, ∞) and investigate relationship between (G; λ)-extremal processes and max-stable processes. We prove that for the processes with independent max-increments if one of the following three statements is given, the other two are equivalent: a) Y is a max-stable process; b) Y is a (G; λ)-extremal process; c) Y is a self-similar extremal process. This paper is partially supported by NFSI-Bulgaria, Grant No VU-MI-105/2005. |
| Identificador |
Pliska Studia Mathematica Bulgarica, Vol. 18, No 1, (2007), 145p-156p 0204-9805 |
| Idioma(s) |
en |
| Publicador |
Institute of Mathematics and Informatics Bulgarian Academy of Sciences |
| Palavras-Chave | #G-extremal processes #max-stable processes #self-similar processes |
| Tipo |
Article |
