Stationary max-stable processes with the Markov property

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Dombry, Clement¹  Eyi-Minko, Frederic¹ 

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

关键词: Max-stable process;    Markov property;    Max-autoregressive process;   

DOI  :  10.1016/j.spa.2014.02.003

来源: Elsevier

【 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.

【 授权许可】

Free