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Conditioned limit laws for inverted max-stable processes

机译:反向最大稳定过程的条件极限定律

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摘要

Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have been proposed as an important new class for spatial extremes which are in the domain of attraction of a spatially independent max-stable process but instead they cover the broad class of asymptotic independence. To study the extreme values of such processes we use the conditioned approach to multivariate extremes that characterises the limiting distribution of appropriately normalised random vectors given that at least one of their components is large. The current statistical methods for the conditioned approach are based on a canonical parametric family of location and scale norming functions. We study broad classes of inverted max-stable processes containing processes linked to the widely studied max-stable models of Brown-Resnick and extremal-tt, and identify conditions for the normalisations to either belong to the canonical family or not. Despite such differences at an asymptotic level, we show that at practical levels, the canonical model can approximate well the true conditional distributions.
机译:最大稳定过程被广泛用于建模空间极限。这些过程表现出渐近依赖性,这意味着该过程的较大值可以在空间上同时发生。近来,已经提出倒置最大稳定过程作为空间极限的重要的新类别,其在空间独立的最大稳定过程的吸引力范围内,但是它们涵盖了渐近独立性的广泛类别。为了研究此类过程的极值,我们使用条件化方法来处理多元极值,该极值表征了适当归一化的随机向量的限制分布,因为它们的至少一个成分很大。条件方法的当前统计方法基于位置和尺度规范函数的规范参数族。我们研究了包含与广泛研究的Brown-Resnick和extremal-tt的最大稳定模型有关的过程的广义最大稳定反向过程,并确定了归一化条件是否属于规范族的条件。尽管在渐近水平上存在这样的差异,但我们表明在实际水平上,规范模型可以很好地近似真实的条件分布。

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