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  5. Time-changed extremal process as a random sup measure

Time-changed extremal process as a random sup measure

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supmeasure100314.pdf (323.63 KB)
Main article
Permanent Link(s)
https://hdl.handle.net/1813/37941
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ORIE Technical Reports
Author
Lacaux, Céline
Samorodnitsky, Gennady
Abstract

A functional limit theorem for the partial maxima of a long memory stable sequence produces a limiting process that can be described as a beta-power time change in the classical Fr'echet extremal process, for beta in a subinterval of the unit interval. Any such power time change in the extremal process for 0

Sponsorship
ARO
grant W911NF-12-10385 and NSA grant H98230-11-1-0154
Date Issued
2014-10-09
Keywords
extremal process
•
random sup measure
•
heavy tails
•
stable process
•
extremal limit theorem
•
stationary max-increments
•
self-similar process
Type
preprint

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