On Self-Similar Extremal Processes
On Self-Similar Extremal Processes
Given an extremal process and a proper sequence of nonlinear time-space changes, the limit behaviour of the sequence of the time-space changed process is studied under a regularity condition on the norming sequence and asymptotic negligibility of the max-increments. The limit class consists of selfsimilar extremal processes. Their univariate marginals are max-selfdecomposable. If additionally, the initial extremal process has homogeneous max-increments, then the limit process is max-stable.
- Bulgarian Academy of Sciences Bulgaria
- Institute of Mathematics and Informatics Bulgaria
Extreme value theory; extremal stochastic processes, Stable stochastic processes, self-similarity, Multivariate Extremal Processes, homogeneous max-increments, Self-Similarity, Homogeneous Max-Increments, multivariate extremal processes, Self-similar stochastic processes, weak convergence, Weak Convergence
Extreme value theory; extremal stochastic processes, Stable stochastic processes, self-similarity, Multivariate Extremal Processes, homogeneous max-increments, Self-Similarity, Homogeneous Max-Increments, multivariate extremal processes, Self-similar stochastic processes, weak convergence, Weak Convergence
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