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
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
Journal title :
Stochastic Processes and their Applications