Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152520 | Statistics & Probability Letters | 2011 | 5 Pages |
Abstract
Brown and Resnick (1977) introduce a max-stable process that is obtained as a limit of maxima of independent Ornstein–Uhlenbeck processes. As shown in Kabluchko et al. (2009) this process is dissipative and it therefore admits a mixed moving maxima representation. We show that the distribution of the spectral functions in this representation equals a well-known diffusion, namely a standard Brownian motion with drift conditional on taking negative values only. This can be used for fast simulation methods.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
S. Engelke, Z. Kabluchko, M. Schlather,