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On the association of sum- and max-stable processes

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  • Wang, Yizao
  • Stoev, Stilian A.

Abstract

We address the notion of association of sum- and max-stable processes from the perspective of linear and max-linear isometries. We establish the appealing result that these two classes of isometries can be identified on a proper space (the extended positive ratio space). This yields a natural way to associate to any max-stable process a sum-stable process. By using this association, we establish connections between structural and classification results for sum- and max-stable processes.

Suggested Citation

  • Wang, Yizao & Stoev, Stilian A., 2010. "On the association of sum- and max-stable processes," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 480-488, March.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:480-488
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    References listed on IDEAS

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    1. Krzysztof Burnecki & Jan Rosinski & Aleksander Weron, 1997. "Spectral representation and structure of self-similar processes," HSC Research Reports HSC/97/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    2. Stoev, Stilian A., 2008. "On the ergodicity and mixing of max-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1679-1705, September.
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    Cited by:

    1. Falk, Michael, 2015. "On idempotent D-norms," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 283-294.
    2. Hashorva, Enkelejd, 2018. "Representations of max-stable processes via exponential tilting," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2952-2978.
    3. Krzysztof Dȩbicki & Enkelejd Hashorva, 2020. "Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants," Journal of Theoretical Probability, Springer, vol. 33(1), pages 444-464, March.
    4. Dombry, Clément & Kabluchko, Zakhar, 2017. "Ergodic decompositions of stationary max-stable processes in terms of their spectral functions," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1763-1784.
    5. Wang, Yizao & Stoev, Stilian A. & Roy, Parthanil, 2012. "Decomposability for stable processes," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1093-1109.
    6. Hashorva, Enkelejd & Kume, Alfred, 2021. "Multivariate max-stable processes and homogeneous functionals," Statistics & Probability Letters, Elsevier, vol. 173(C).

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