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Max-stable processes and stationary systems of Lévy particles

Author

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  • Engelke, Sebastian
  • Kabluchko, Zakhar

Abstract

We study stationary max-stable processes {η(t):t∈R} admitting a representation of the form η(t)=maxi∈N(Ui+Yi(t)), where ∑i=1∞δUi is a Poisson point process on R with intensity e−udu, and Y1,Y2,… are i.i.d. copies of a process {Y(t):t∈R} obtained by running a Lévy process for positive t and a dual Lévy process for negative t. We give a general construction of such Lévy–Brown–Resnick processes, where the restrictions of Y to the positive and negative half-axes are Lévy processes with random birth and killing times. We show that these max-stable processes appear as limits of suitably normalized pointwise maxima of the form Mn(t)=maxi=1,…,nξi(sn+t), where ξ1,ξ2,… are i.i.d. Lévy processes and sn is a sequence such that sn∼clogn with c>0. Also, we consider maxima of the form maxi=1,…,nZi(t/logn), where Z1,Z2,… are i.i.d. Ornstein–Uhlenbeck processes driven by an α-stable noise with skewness parameter β=−1. After a linear normalization, we again obtain limiting max-stable processes of the above form. This gives a generalization of the results of Brown and Resnick (1977) to the totally skewed α-stable case.

Suggested Citation

  • Engelke, Sebastian & Kabluchko, Zakhar, 2015. "Max-stable processes and stationary systems of Lévy particles," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4272-4299.
  • Handle: RePEc:eee:spapps:v:125:y:2015:i:11:p:4272-4299
    DOI: 10.1016/j.spa.2015.07.001
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    References listed on IDEAS

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    1. 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.
    2. Das, Bikramjit & Engelke, Sebastian & Hashorva, Enkelejd, 2015. "Extremal behavior of squared Bessel processes attracted by the Brown–Resnick process," Stochastic Processes and their Applications, Elsevier, vol. 125(2), pages 780-796.
    3. Willekens, Eric, 1987. "On the supremum of an infinitely divisible process," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 173-175.
    4. Albin, J. M. P., 1993. "Extremes of totally skewed stable motion," Statistics & Probability Letters, Elsevier, vol. 16(3), pages 219-224, February.
    5. Albin, J. M. P., 1997. "Extremes for non-anticipating moving averages of totally skewed [alpha]-stable motion," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 289-297, December.
    6. Durrett, Richard, 1979. "Maxima of branching random walks vs. independent random walks," Stochastic Processes and their Applications, Elsevier, vol. 9(2), pages 117-135, November.
    7. Sebastian Engelke & Alexander Malinowski & Zakhar Kabluchko & Martin Schlather, 2015. "Estimation of Hüsler–Reiss distributions and Brown–Resnick processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(1), pages 239-265, January.
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    Cited by:

    1. Wang, Yizao, 2018. "Extremes of q-Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 128(9), pages 2979-3005.

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