Title of article :
Stationary max-stable processes with the Markov property
Author/Authors :
Dombry، نويسنده , , Clément and Eyi-Minko، نويسنده , , Frédéric، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2014
Pages :
14
From page :
2266
To page :
2279
Abstract :
We prove that the class of discrete time stationary max-stable process satisfying the Markov property is equal, up to time reversal, to the class of stationary max-autoregressive processes of order 1. A similar statement is also proved for continuous time processes.
Keywords :
Max-stable process , Max-autoregressive process , Markov property
Journal title :
Stochastic Processes and their Applications
Serial Year :
2014
Journal title :
Stochastic Processes and their Applications
Record number :
1579336
Link To Document :
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