ISSN:
1573-8795
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract Given an extremal process X: [0,∞)→[0,∞)d with lower curve C and associated point process N={(tk, Xk):k≥0}, tk distinct and Xk independent, given a sequence ζ n =(τ n , ξ n ), n≥1, of time-space changes (max-automorphisms of [0,∞)d+1), we study the limit behavior of the sequence of extremal processes Yn(t)=ξ n -1 ○ X ○ τn(t)=Cn(t) V max {ξ n -1 ○ Xk: tk ≤ τn(t){ ⇒ Y under a regularity condition on the norming sequence ζn and asymptotic negligibility of the max-increments of Yn. The limit class consists of self-similar (with respect to a group ηα=(σα, Lα), α〉0, of time-space changes) extremal processes. By self-similarity here we mean the property Lα ○ Y(t) = d Y ○ αα(t) for all α〉0. The univariate marginals of Y are max-self-decomposable. If additionally the initial extremal process X is assumed to have homogeneous max-increments, then the limit process is max-stable with homogeneous max-increments.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02432363
