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arXiv · 1303.2452

Max-stable processes and the functional D-norm revisited

Stefan Aulbach·Michael Falk·Martin Hofmann·Maximilian Zott
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Abstract

Aulbach et al. (2013) introduced a max-domain of attraction approach for extreme value theory in C[0,1] based on functional distribution functions, which is more general than the approach based on weak convergence in de Haan and Lin (2001). We characterize this new approach by decomposing a process into its univariate margins and its copula process. In particular, those processes with a polynomial rate of convergence towards a max-stable process are considered. Furthermore we investigate the concept of differentiability in distribution of a max-stable processes.

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Stefan Aulbach, Michael Falk, Martin Hofmann, Maximilian Zott. 2013-03-11. Max-stable processes and the functional D-norm revisited. https://doi.org/10.1007/s10687-014-0210-0

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