A central limit theorem for functions of stationary max-stable random fields on Rd

Erwan Koch, Clément Dombry and Christian Y. Robert

Stochastic Processes and their Applications, 2019, vol. 129, issue 9, 3406-3430

Abstract: Max-stable random fields are very appropriate for the statistical modelling of spatial extremes. Hence, integrals of functions of max-stable random fields over a given region can play a key role in the assessment of the risk of natural disasters, meaning that it is relevant to improve our understanding of their probabilistic behaviour. For this purpose, in this paper, we propose a general central limit theorem for functions of stationary max-stable random fields on Rd. Then, we show that appropriate functions of the Brown–Resnick random field with a power variogram and of the Smith random field satisfy the central limit theorem. Another strong motivation for our work lies in the fact that central limit theorems for random fields on Rd have been barely considered in the literature. As an application, we briefly show the usefulness of our results in a risk assessment context.

Keywords: Central limit theorem; Max-stable random fields on Rd; Mixing; Risk assessment (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:9:p:3406-3430

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DOI: 10.1016/j.spa.2018.09.014

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