An equivalent representation of the Brown-Resnick process

S. Engelke, Z. Kabluchko and M. Schlather

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1150-1154

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: Brown-Resnick; process; Mixed; moving; maxima; Dissipative; Conditional; negative; Brownian; motion; Simulation; of; max-stable; processes (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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