Generalized Pickands constants and stationary max-stable processes
نویسندگان
چکیده
منابع مشابه
Generalized Pickands Constants
Pickands constants play an important role in the exact asymptotic of extreme values for Gaussian stochastic processes. By the generalized Pickands constant Hη we mean the limit Hη = lim T→∞ Hη(T ) T , where Hη(T ) = IE exp ( maxt∈[0,T ] (√ 2η(t)− σ2 η(t) )) and η(t) is a centered Gaussian process with stationary increments and variance function σ2 η(t). Under some mild conditions on σ2 η(t) we ...
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We study properties of generalized Pickands constants H that appear in the extreme value theory of Gaussian processes and are de ned via the limit H lim T H T T where H T IE exp maxt T p t Var t and t is a centered Gaussian process with stationary increments We give estimates of the rate of convergence of H T T to H and prove that if n t weakly converges in C to t then under some weak condition...
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ژورنال
عنوان ژورنال: Extremes
سال: 2017
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-017-0289-1