Extremal t processes: Elliptical domain of attraction and a spectral representation

JOURNAL OF MULTIVARIATE ANALYSIS

卷:122

Article

Opitz, T.

关键词: Elliptical distribution;    Extremal t process;    Max-stable process;    Spectral construction;   

DOI  :  10.1016/j.jmva.2013.08.008

来源: Elsevier

【 摘 要 】

The extremal t process was proposed in the literature for modeling spatial extremes within a copula framework based on the extreme value limit of elliptical t distributions (Davison et al. (2012)[5]). A major drawback of this max-stable model was the lack of a spectral representation such that for instance direct simulation was infeasible. The main contribution of this note is to propose such a spectral construction for the extremal t process. Interestingly, the extremal Gaussian process introduced by Schlather (2002) [22] appears as a special case. We further highlight the role of the extremal t process as the maximum attractor for processes with finite-dimensional elliptical distributions. All results naturally also hold within the multivariate domain. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

Free