A Spectral Representation for Max-stable Processes
Open Access
- 1 November 1984
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 12 (4) , 1194-1204
- https://doi.org/10.1214/aop/1176993148
Abstract
The elements of an arbitrary max-stable sequence are exhibited as functionals of a 2-dimensional Poisson point process. The result is extended to a continuous time max-stable process that is continuous in probability. We define an analogue of a stochastic integral appropriate for this context.Keywords
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