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A central limit theorem for functions of stationary max-stable random fields on Rd

Author

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  • Koch, Erwan
  • Dombry, Clément
  • Robert, Christian Y.

Abstract

Max-stable random fields are very appropriate for the statistical modelling of spatial extremes. Hence, integrals of functions of max-stable random fields over a given region can play a key role in the assessment of the risk of natural disasters, meaning that it is relevant to improve our understanding of their probabilistic behaviour. For this purpose, in this paper, we propose a general central limit theorem for functions of stationary max-stable random fields on Rd. Then, we show that appropriate functions of the Brown–Resnick random field with a power variogram and of the Smith random field satisfy the central limit theorem. Another strong motivation for our work lies in the fact that central limit theorems for random fields on Rd have been barely considered in the literature. As an application, we briefly show the usefulness of our results in a risk assessment context.

Suggested Citation

  • Koch, Erwan & Dombry, Clément & Robert, Christian Y., 2019. "A central limit theorem for functions of stationary max-stable random fields on Rd," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3406-3430.
    • Handle: RePEc:eee:spapps:v:129:y:2019:i:9:p:3406-3430
    DOI: 10.1016/j.spa.2018.09.014
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    References listed on IDEAS

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    1. Dombry, Clément & Eyi-Minko, Frédéric, 2012. "Strong mixing properties of max-infinitely divisible random fields," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3790-3811.
    2. Evgeny Spodarev, 2014. "Limit Theorems for Excursion Sets of Stationary Random Fields," Springer Optimization and Its Applications, in: Volodymyr Korolyuk & Nikolaos Limnios & Yuliya Mishura & Lyudmyla Sakhno & Georgiy Shevchenko (ed.), Modern Stochastics and Applications, edition 127, pages 221-241, Springer.
    3. El Machkouri, Mohamed & Volný, Dalibor & Wu, Wei Biao, 2013. "A central limit theorem for stationary random fields," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 1-14.
    4. R. Huser & A. C. Davison, 2013. "Composite likelihood estimation for the Brown--Resnick process," Biometrika, Biometrika Trust, vol. 100(2), pages 511-518.
    5. Kabluchko, Zakhar & Schlather, Martin, 2010. "Ergodic properties of max-infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 281-295, March.
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