×

zbMATH — the first resource for mathematics

A spectral representation for max-stable processes. (English) Zbl 0597.60050
Summary: The elements of an arbitrary max-stable sequence are exhibited as functionals of a 2-dimensional Poisson point process. The result is extended to a continuous time max-stable process that is continuous in probability. We define an analogue of a stochastic integral appropriate for this context.

MSC:
60H05 Stochastic integrals
62M20 Inference from stochastic processes and prediction
PDF BibTeX Cite
Full Text: DOI