Extremal t processes: Elliptical domain of attraction and a spectral representation
The extremal t process was proposed in the literature for modeling spatial extremes within a copula framework based on the extreme value limit of elliptical t distributions (Davison et al. (2012) [5]). A major drawback of this max-stable model was the lack of a spectral representation such that for instance direct simulation was infeasible. The main contribution of this note is to propose such a spectral construction for the extremal t process. Interestingly, the extremal Gaussian process introduced by Schlather (2002) [22] appears as a special case. We further highlight the role of the extremal t process as the maximum attractor for processes with finite-dimensional elliptical distributions. All results naturally also hold within the multivariate domain.
Year of publication: |
2013
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Authors: | Opitz, T. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 122.2013, C, p. 409-413
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Publisher: |
Elsevier |
Subject: | Elliptical distribution | Extremal t process | Max-stable process | Spectral construction |
Saved in:
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